The Owls, who hope key man Adam Reach (knee) will be available for selection, have picked up only point from their opening three matches.
Sunday's woeful second half showing at Brentford further cranked up the pressure on Luhukay and his under-performing side, who have yet to win in the league this campaign.
The Dutchman told The Star: "Every game is new and at this moment we must not speak about the play-off positions or the Premier League.
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"We must now find a way, as fast as we can, to win games and then see where that takes us.
"At this moment, we must not dream about anything else. We must dream how we can win the game against Millwall."
The Lions go into the clash looking to maintain their unbeaten start and build on a weekend win over Frank Lampard's Derby County outfit.
"I expect a reaction against Millwall," admitted Luhukay. "Our fans are fantastic and I've said it many times before; the fans must see from the first to last minute us trying to win the game.
"When you do that, you always have the positive support.
"I'm very proud of our fans. We had 4,500 fans supporting at Wigan. We took a lot to Sunderland and Brentford so it's painful when we cannot give a good performance or win a game for them.
"We must give our fans something back which we didn't do on Sunday."
Luhukay, who is on the hunt for a new defender, is refusing to panic despite their sluggish start.
He said: "We have players back from long-term injuries and young players coming through. The stability and performances must grow but, of course, in football you have no time and most of the time there is not a lot of patience.
"It’s all about how you play as a team, how you defend as a team, how you go into the offensive as a team and that you all come together in the positive direction.
"When you do it together and for each other, you will find the stability that you need to win games in the Championship.