The squad refused to train on Monday and have said they will only practise once a day instead of twice until the problem is sorted out.
"The players asked me to train once a day until they have been paid for the last two months," coach Luis Garcia told Colombian media.
Millonarios have won 13 Colombian titles, a record they share with America, although the last was in 1988.
The club was briefly one of the world's richest during Colombia's so-called pirate league in the early 1950s when top players like Alfredo di Stefano were in the team.
More recently, however, they have suffered chronic financial problems.
Players at provincial club Deportivo Pasto have stopped training altogether amid reports they are owed six month's salary.
"We know the directors are making a big effort to pay us, but it's a difficult matter because here we have team mates who cannot afford transport to get to training and some who cannot even afford to buy food," midfielder Hugo Centurion told the website Futbolred.
"We're not asking them to pay us the whole debt, but a few instalments."
