"It was a strange moment because you just can't believe what you see," said Dyche.
"I think it's fair to say we dominated the game from start to finish and when that went in, it's one of those weird moments where me the staff got our heads together and I said 'we'll win it' because you can't keep dominating games [and get nothing].
"Football evens outside out over a season."
Dyche added: "I've stated a couple of times I'm very surprised we haven't had a win here already.
"I believe in what we do, the players clearly showed tonight they believe and I'm most pleased for the fans because they've shown great belief in the turnaround at the club.
"They know there's been big changes here, with big players leaving and good players coming in and certain guidelines, and I think they're really realistic and they've been fantastic in supporting both me and the team.
"It's a big one for them tonight, it just clears it out of the way, but we're not getting carried away with it, the obvious fact is we got Southampton on Saturday but we must enjoy it because we thoroughly earned it."
Millwall have now taken just two points from the last 18, and boss Kenny Jackett said: "There was a lot of spirit there tonight and we really dug in and I thought we deserved something.
"I didn't think we got the best of the decisions. Danny N'Guessan's goal in the first half, flagged for offside, I had a reasonable view and I thought that was a tough call, and I thought we had a good appeal at the start of the second half for a penalty for handball.
"It's quite a tough one to take in terms of those things but we did show some spirit today and we're obviously disappointed but it was a better performance then it was against Derby on Saturday.
"We have to take that spirit, find more going forward there is no doubt about that and if we can do that there's results in the future for us."