Millen took charge for the game after Ian Holloway parted company with the club by mutual contest on Wednesday following a run of one win from the opening eight Premier League games.
Palace produced a spirited display, but the Premier League leaders claimed all three points at Selhurst Park thanks to a second-half penalty from Mikel Arteta - who was later sent off for a foul on former Arsenal striker Marouane Chamakh - and a late header from Olivier Giroud.
Despite the loss, Millen was quick to credit his players for an improved performance.
"Today was all about getting a response from the players, and we got that and I think the fans appreciated it," he said.
"I was very proud to lead the players out, but it was more about them having pride in themselves.
"I honestly thought, at 1-0, we would get something out of the game. We spoke at half-time about starting the second half strongly, but unfortunately it did not happen, but I am very proud of the players, and I have told them such."
"I believe the man who comes in needs to have the right level of experience at this level, and I don't know if I am that man yet," he added.
"For the time being, though, I am happy to keep charge because I enjoy the job so much, the team is terrific and they work so hard."
