Lions captain Danny Shittu headed the only goal to sink Blackburn 1-0 in a quarter-final replay at Ewood Park and book a Wembley date against Wigan next month - a rematch of the 1999 Football League Trophy final at the old national stadium that the Latics won 1-0.
Eight seasons in the Barclays Premier League mean such humble competitions are a thing of the past for the DW Stadium outfit, and Gallen believes that time at the top table gives them a clear advantage. "They're a Premier League team and they're the favourites," he said.
"They'll have spent a lot more money on their team than we do on our team. We go there as underdogs but - like in any game of football - you don't just go there for a day out, you don't go there just to make the numbers up.
"When we get round to the Wigan game we'll put together a plan and see if we can go and perform well and see what we can do. But we're serious underdogs in that game, as we are in most of the Championship games if we're honest."
As Manchester City await neighbours United or Chelsea in the other semi, Millwall and Wigan's meeting will double up as a Europa League play-off if Rafael Benitez's men can secure the Champions League qualification place that the current top two are virtually assured of.
Millwall enjoyed a brief foray into European competition following their 2004 final defeat to Sir Alex Ferguson's side, a 4-2 aggregate loss to Ferencvaros in the first-round proper of the UEFA Cup, but Gallen insists no thoughts have been lent such a prospect amid the stark reality of their 17th position in the npower Championship - five points above the relegation zone.
"There's been nothing said about that, not from the staff," he added. "The players talk about whatever they talk about and we don't get to hear that.
"If you look where we are in the league, right now, even though we're getting to the semi-final of an FA Cup, the focus is straight away Charlton on Saturday.
"It's a London derby and we've usually performed well in London derbies in the last five and a half years."