"I'm very proud with that," Davies said. "We've come to a very difficult place.
"They say many things about Millwall fans, but I've got great respect for them. They get behind their team, they make it an intimidating place.
"Many, many sides in the next few weeks will find this place very, very difficult. That's why it's a big performance for us and a big point for this young side.
"It isn't about possession, this game's all about goals.
"We did pass the ball well and we did create a lot of chances and probably deserved to win the game because we did have chances second half, but in the end a point at Millwall and we can't complain.
"Definitely it's a point gained and that's what we have to keep on doing - just picking up points.
"What I have been saying all season has now got whiskers on it, so I'm not going to say it again. I think we are very good play-off candidates but let's wait until the end of the season and see where we finish."
The point for Millwall ends a run of two successive defeats and manager Kenny Jackett is hoping his side can be a bit more creative over the coming weeks.
"I'm pleased with the defensive display after two losses. The whole team worked hard and dug in very well," he said.
"Going forward I think we can do better. We lacked energy and couldn't quite really get anything going in their half of the field.
"Chances were at a premium for us today. We didn't have our usual calmness and invention, but against a very good side I'm not disappointed with a point.
"After two losses it certainly gives us something to build on. We've conceded too many goals in the last few games that have cost us the chance to gain points.
"It was more like ourselves competition-wise. I would like for us to be a bit more creative, particularly in the second-half as the game builds up at home.
"We couldn't quite get hold of the ball in the opposition's half and when we did it didn't quite come off.
"Nottingham Forest are a very good team and when you look at their subs' bench it shows how far we've come and how we are competing.
"We restricted to them to very few chances, but we had very few ourselves."