The stopper, 33, made nine appearances for the Iron having made the switch to Glanford Park at the start of November.
He now becomes Rovers' third loan signing of the day, with new Pirates boss John Ward telling the club's official website: "We are delighted to have a goalkeeper with Steve's experience on board.
"Given our current league position, I felt that we needed some experience in that position. I know Steve and I am grateful to his manager at Millwall, Kenny Jackett, for allowing him to join us."
Rovers have confirmed they hope to extend Mildenhall's emergency loan until the end of the season early in the new year.
Meanwhile, Millwall midfielder Tamika Mkandawire will return to The Den on Wednesday when his two-month loan stint at League Two side Southend comes to an end.