Millwall had more possession during the game and more of the attacking play overall but were sadly lacking in front of goal.
It was Doncaster who came closest to breaking the deadlock when substitute Federico Macheda hit the post five minutes from time.
He said: "It's great to keep a clean sheet but I thought we should have taken all three points.
"Apart from hitting the post we were through twice on goal and had players pulled back - which was missed by the officials.
"Two big decisions have gone against us and it's very disappointing because it wasn't as if the officials were in bad positions to see what happened.
"It was a scrappy game but the response from the players after the Boxing Day defeat against Ipswich was excellent.
"We had a good chat after that and we said the only way to put things right was to stick together - and I thought we did that.
"There were three teenagers in the side and I thought they all did really well.
"Young Alex Peterson was asked to play up front on his own and the kid did fantastically well. He's a local lad full of enthusiasm and I'll never be afraid to throw in youngsters like that because you know they'll give everything they've got."
He added: "We'll be hoping to do some business during the transfer window next month . We want to tie up Richie Wellens and strengthen both attack and defence."