Yes, they are still in the final play-off place, seventh, but they look as if they have to convince themselves let alone their disbelieving followers, that they really are worthy of the end-of-season lottery.
Quite how they will pull themselves round for a big clash with neighbours and major play-off rivals Chesterfield on Saturday is hard to contemplate.
The last half-hour, particularly, must be hugely damaging for morale and confidence.
Quite what has happened to a team and players who performed so well mid-season, went on unbeaten runs, even set records, is difficult to comprehend.
Manager Mark Robins, angry after Accrington two games ago, looked shaken and concerned by the eventual capitulation he had just witnessed against a side even further down than Accrington albeit one clearly picking up under the influence of the recently installed boss Alan Knill.
The first half wasn't a disaster. Certainly not - but it wasn't top seven either.
The second half was bottom seven. If you're lucky.
One win in the last 10 and seven defeats in that time suggests it might be just a bit more than a bad trot.
The real desire to really drive for a play-off place doesn't seem to be in every player when the crunch has come.
There were question marks in some places here about application. In some positions there is an alarming naivety. We saw, in some cases, a lack of determination and strength.
Of course, when things start to go drastically wrong late on along with the scoreline, as happened here, the performance can appears much, much worse.
But whatever claims might be made on their behalf from the first half, overall it was unacceptable and the best QC in the land couldn't defend the last half-hour which was of major concern.
Bury have picked up under Knill to the extent that his nine games have garnered 17 points which is about promotion form, certainly play-off form. And they've played Stockport, Wycombe, Darlington, Peter borough and Morecambe into the bargain not to mention the Millers.
They proved the hungrier of the two teams and ended up (having ended a run of eight winless home games only last Saturday) indulging themselves in the final stages to the embarrassment of demoralised opponents.
Bury may justifiably claim they could have had a bigger scoreline. In Rotherham's defence (I can do this, no QC required), the Millers could have been on target at least once if not twice in the first half.
What do you think? Post your comments below. They carved out the first opportunity when Marc Joseph's centre fell beyond Efe Sodje but Ryan Taylor rather lost his bearings as his header dropped wide.
The penalty area threat of Andy Bishop was quickly evident. Always looking to pull away beyond the central defenders, he suddenly darted in front of Graham Coughlan, his control took him clear but Andy Warrington saved superbly.
However, the next flash of Bishop's white boots, on 16 minutes, saw him despatch a low 20 yarder past Warrington after Sharps and Coughlan had gone for the same ball when challenging Glynn Hurst who, shortly afterwards, put a chance into the side netting.
Pablo Mills had a couple of decent long rangers but a pattern developed after the goal with Bury, compact, keeping the Millers at bay.
On the half-hour came Rotherham's best moments. A fine Peter Holmes cross to the far post dragged the keeper into no man's land but Mark Hudson didn't connect with his header.
Then, from a Danny Harrison cross, Holmes closed in for a good header which looked in until Darren Randolph made an excellent save as the ball was sneaking inside the far post.
Bishop forced Warrington to save again before Rotherham took up the second half running and, after a run by Mills, Chris O'Grady's low shot cannoned for a corner off the keeper's legs.
It offered hope but that was more or less it for the Millers.
Indeed, Bury broke well from the corner and perhaps should have scored.
When, on 62 minutes, Bishop cashed in on a Joseph error to notch his 23rd of the season and sixth goal in three games, Rotherham began to go downhill fast and Nicky Adams volleyed through a crowded area four minutes later.
Derek Holmes headed onto a post from a corner and O'Grady, near the end, fired over with the chance of a consolation before Warrington denied Bishop when his hat-trick looked certain.
How do they turn this round on Saturday? Hard work, graft, desire, character, determination, pride, perhaps a bit of sheer bloody-mindedness, togetherness etc. etc., would be a start.
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