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."
