Swindon Town - apart from the opening day of the campaign - have failed to win on home turf this season.
The Lions continued their good start with a well-taken goal by loanee Jermaine Easter midway through the first half.
Easter was to go on to spoil his day, and that of the Millwall camp though, with a needless foul on Jack Smith in stoppage time, which left referee Penn with little option but to show the Lions striker a red card.
The 24th-minute goal came when Lewis Grabban sped down the right, and when Swindon defender Hasney Aljofree failed to clear, Easter was on hand to slide the ball past Phil Smith.
Swindon had earlier had a penalty appeal turned down but had striker Simon Cox reacted quicker as the ball came to him, it might have been a different result.
Millwall dominated the first half and Grabban nearly made it 2-0 with a superb 25-yard strike which Phil Smith needed two attempts to save.
Swindon offered little prior to the break although Jack Smith saw his 25-yard effort deflected wide.
It was Jack Smith who gave the Robins hope though when his 47th-minute cross deceived David Forde, although Billy Paynter might have made minimal contact.
Swindon came back quite strongly for a time but Grabban should have put the visitors further ahead in the 74th minute. However, after Tony Craig's header had come back off the bar, he hammered the ball onto the roof of the net.
Town huffed and puffed in the closing stages and came close on a couple of occasions but the real drama was saved until stoppage time when Easter was sent off for a needless foul on Jack Smith.