The Lions boss was disappointed with his side's failure to book a place at Wembley after they wasted a number of good opportunities, with Rob Hulse guilty of the most glaring miss
Rob Hulse had a glorious chance to book the London club a date at Wembley but scuffed his shot from close range wide with an open goal at his mercy.
Blackburn had a couple of chances of their own, but Millwall bossed most of the match and should have seen off Michael Appleton's men.
"If you don't score you're not going to win games," Jackett told reporters after the game. "We did a lot of things right today but scoring is the key.
"We put a lot of pressure on Blackburn, we put a lot of crosses in and we had clear cut chances in the game. That's been us of late, we need to put the ball in the back of the net."
The Lions boss was disappointed with his side's finishing but had no qualms about their effort and application in a fiercely contested tie.
"They put everything into the game, as they do every week. They just need to find that equation going forward," he added.
"There was a lot of passion there, our challenge now is to look at [the replay on] Wednesday night and Saturday when we face Charlton, two away games where we have to show that passion again but find some quality going forward too."
Blackburn boss Appleton admitted he was glad to have a second chance in the tie after revealing that he fielded a number of unfit players.
"I wouldn't say relieved, obviously there's probably one opportunity in the game, the clear cut one," said the 37-year-old.
"Both sides hit the wood work at some point but I was delighted with the way the lads went about it because we have four players who are about 60-70 per cent fit.
"We had to gamble, we had to take the opportunity and obviously we have another chance to get through.
"I think it was always going to be [a battle] when you're coming to the Den with a Millwall side with the crowd behind them, we knew we had to be competitive and the boys did it for 90 minutes."
The Blackburn manager expects the replay at Ewood Park to be a different type of game, one which he hopes his side can dictate.
He commented: "The game on Wednesday is going to be a completely different game. We'll make the pitch a hell of a lot bigger in possession than we did today. We were very compact today."