But it was another penalty issue that was the most contentious issue of the afternoon that left the Millers with a bitter taste in their mouth.
The Championship side won the shootout 8-7, but whether it should have got that far is open for debate.
After a goalless 90 minutes, the Millers had taken the lead early in extra time when Michael Ihiekwe produced a striker’s finish at the far post, but Lyndon Dykes levelled for Rangers in the 115th minute.
But just two minutes later Chiedozie Ogbene appeared to be hacked down in the penalty area, but referee Michael Salisbury was the only person in Loftus Road who did not see it as a foul.
Ogbene then went on to miss the key penalty in the shootout, extending Rotherham’s failure to win in the FA Cup third round to a miserable 20 years.
Boss Paul Warne, who played for the Millers when they beat Premier League Southampton at Millmoor in 2002, was unable to look past such a decisive incident going against them.
“It is a penalty. I've seen it back so I can definitely say that with complete confidence,” an irate Warne said.
“If it isn't a penalty, then the ref should book my player for diving. The linesman is bang up with play.
“Their bench has said it's a penalty. As I'm coming off, two of their players are telling me that it was a penalty. One of their members of staff apologised and said it's a penalty. “Unfortunately, that doesn't help us. It doesn't help me when I later speak to my chairman who wants to win every game, it doesn't help the fans who have travelled all the way down here and it doesn't help my dressing room.
“It is hugely disappointing because Chieo has got past the last man in the box. I feel let down and I feel like the lads have been let down.”
For 10 glorious minutes in extra time it looked like the Millers would finally end their hoodoo at this stage of the competition.
Ihiekwe’s accomplished finish put them on the brink of the fourth round only for Dykes to send it to penalties.
It was Ogbene who missed the crucial penalty as Jordan Archer made the save to leave Warne crestfallen.
“I'm really proud of the lads,” he said. “I'm a little bit emotional now if I'm honest because I thought they gave everything they could to win a game against the team who are flying in the Championship.
“I thought, first half, we were the better side, although, in fairness, they created the better chances.
“My goalkeeper kept us in it a couple of times and there were a couple of last-ditch tackles. I don't think we created enough.”