He said: "It was something that was asked, if I fancied going to Millwall.
"But after all due consideration, and the way I've been treated here, I didn't think it was right for me to go.
"People raised their eyebrows when I first came here, but I'm delighted that I came - the potential that was showing is starting to come to the fore now.
"I'm thoroughly enjoying it. Sometimes job satisfaction comes before money."
Steve Claridge was eventually appointed as the Lions' new boss on Tuesday.