The 20-year-old striker suffered the injury just 12 minutes into the Lions' 2-0 defeat to Wolves on Tuesday and will require surgery prior to a lengthy lay-off.
The London-born forward, who has yet to make a senior appearance for the Gunners, failed to score a goal in his five outings for Millwall.
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Afobe agreed a season-long stay with Bolton at the start of the campaign but saw that deal brought to a premature end having netted just twice in 16 Championship appearances.