Barnet manager Martin Allen believes the difference between the Bees and Millwall was the Lions' clinical finishing.
John Akinde's 23rd minute own goal put the Bees on the back foot before Aiden O'Brien doubled the lead 12 minutes later.
Steve Morison made it 3-0 before Fred Onyedinma's penalty wrapped up a comfortable win for Neil Harris' side.
The Barnet boss said: “It wasn’t a great result but I thought that all the lads had a real go.
“4-0 wasn’t a true reflection of the game – Millwall scored from two set plays and a penalty.
“They scored from two set plays against Oldham Athletic on Saturday, so we knew that they were going to be strong in that area.
“But I thought that our players put in a good, committed performance – we just didn’t have enough to break them down.
“Millwall had fewer chances but they were more clinical. We had a couple cleared off the line, we had a couple of other good strikes and their keeper has made a couple of good saves.
“Without a shadow of a doubt, their second goal definitely took the wind out of the sails of our players. We were full on, going at them and going after them – as we always do.
“But the second goal just knocked our players back. You could see a little bit of anxiety crept in, because we don’t go 2-0 down very often.
“I didn’t think it was a bad performance though and I certainly didn’t think it was a performance worthy of a 4-0 defeat.”