Neil Harris and Scott Fitzgerald will take temporary charge of the Championship side, who slipped to 20th in the table after suffering a 4-0 defeat to Watford on Boxing Day
The London club have won just two of their last 13 Championship games and were thrashed 4-0 on Boxing Day at Watford.
That defeat left them 20th in the table, just three points from safety and former St Johnstone boss Lomas has paid the price for a frustrating season.
A former West Ham player, Lomas was an unpopular appointment among many Millwall fans, with an inability to build a run of results failing to appease the club's support.
Former Millwall players Neil Harris and Scott Fitzgerald will move up from their backroom roles to take charge of first team affairs until a permanent successor is found.
Millwall chief exeuctive Andy Ambler said: "We are very disappointed that it hasn't worked out for Steve.
"He has been thoroughly professional in his approach to the job during his short period with the club and remains a very promising young manager.
"However, the board feels that it is in the best interests of Millwall that we make the change at this time and the search for a successor to Steve begins immediately.
"We thank Steve for his efforts and wish him the very best for the future."