Millen's View: Sheff Weds home 0-3
Second half goals from Gary Teale, Neil Mellor and Clinton Morrison saw City surrender on home turf, after looking the most likely side to score in the first period.
Millen said: "We were weak mentally after falling behind and the dressing room was too quiet afterwards.
"We looked a bad side in the second half and it showed we still have a lot of work to do over the rest of the season.
"It was a damaging result financially for the club and just how bad we will only know when we see who Wednesday draw in the next round.
"I have sent all my players home with a DVD of the match and will be looking for a response from them at our next training session."
Become our friend on FACEBOOK
Win FREE pizza with Vital Football!
Select your team and get 50% off if they score twice.