Phil Parkinson's men booked their trip to The Den with a 4-1 win over Vanarama Conference side Dartford on Sunday.
The Lions are currently placed 20th in the Championship table following a 5-1 home loss at the hands of Middlesbrough this weekend.
The last time City met Millwall came during the 2006/07 season. The Bantams actually played Millwall four times during that particular campaign, twice in the F.A Cup.
City drew 0-0 with Millwall in their maiden second round encounter at Valley Parade before losing 1-0 after extra time in the replay down in London eleven days later.
Third round ties will be played over the weekend of 3/4 January 2015. City's third round date with Millwall means that the club's trip to Leyton Orient in Sky Bet League 1, also scheduled for that weekend, will now have to be re-arranged.
Ticket details for this tie will be confirmed in due course.