Maloney hopes Sunday's disappointing afternoon against QPR will offer a reminder of what will be required against the Championship side if the Latics are to reach the final.
"It would be great if we can get back to the type of performance we showed against Norwich and Newcastle. If we do that we'll have a better chance of winning," he said.
"Millwall are in the division below so people will make us favourites. That's just something we have to embrace.
"We need to match the workrate of Millwall, which is something we didn't do against QPR. We need to improve on yesterday's performance.
"The cup is very important, but it hasn't been mentioned too much at the club until this week. It will be a big occasion.
"The main priority of our season is to stay in the Premier League, but as you get further in the cup each round becomes more important."