Appleton's players emerged battered and bruised from Sunday's goalless quarter-final tie.
Scott Dann had his head bandaged after being caught by Rob Hulse's elbow in the first half and he was clattered in the head again in the second by Millwall defender Danny Shittu during a feisty clash in south-east London.
Referee Martin Atkinson dished out seven yellow cards in total with one of the worst offences committed by Shane Lowry, who sent David Bentley flying up in the air with a hefty tackle in the second half.
Bradley Orr came on in the first half for Adam Henley after he suffered an injury, but he himself had to be replaced 12 minutes later with a suspected broken rib following a challenge with Shittu.
Millwall manager Kenny Jackett insisted his side were not overly physical.
He said: "Cheap shots? I don't think that was the case. I don't think that was my players at all."
Lions midfielder Jack Smith reacted angrily to Appleton's comments.
He said: "I didn't see any cheap shots. They seemed to fall over if we breathed on them."