Maloney, named man of the match, had never progressed beyond the third round of the competition before this season and said he would need time to appreciate today's achievement.
"It's a massive occasion for us today, and it will probably sink in in the next couple of days what exactly lies ahead," he said.
"The chairman has spoken publicly about what it means to him and the whole club - it's a massive thing."
Admitting the game had been far from easy, he added: "The first half we controlled but in the second half Millwall pinned us right back and it felt tough until the second goal."
Wigan are still in the relegation scrap at the foot of the Premier League and will need to focus attention on the league in the coming weeks in order to avoid the drop.
"If we play like we did today we'll have a real chance," Maloney added.