United's Under 23s ended the season with the first 0-0 of the campaign, Zak Brunt and Jake Young going closest on a day of few chances.
Marcus Dewhurst was forced into a superb reaction save in the dying seconds to preserve United's point at Calmont Road.
The Blades had the better of the opening 20 minutes but couldn't make their pressure pay. Several good crosses into the box yielded little end product and it was Brunt who went closest when he curled a low effort just wide from the edge of the box.
Millwall got a grip of the game after the break but also couldn't make their pressure tell, with neither goalkeeper in truth having much to do.
United built some momentum towards the end of the match, Young curling an effort past his marker but just past the far post.
George Cantrill, Simeon Oure and Reon Potts were all introduced in the final 15 minutes and there was a brief stoppage when the linesman took a Millwall's defenders clearance to the side of the face.
When the game restarted with little over five minutes to go, it was the hosts who went closest to winning it with the final action of the match.
A low ball across the box fell to midfielder Billy Mitchell who only had to tap home into an almost open goal, but Dewhurst somehow reacted to push his effort away and ensure United ended the season with a point.
Blades: Dewhurst, Bennett, Gomis, Neal, Gordon, York, Sheppeard (Cantrill 70), Brunt (Oure 70), Young (Potts 87), Greaves, Boyes.
Unused: Amissah, Williams.