And the Royals boss believes referee Keith Hill should have awarded his team at least two penalties.
Reading had three strong penalty appeals turned down - and Coppell reckons a braver ref would have pointed to the spot on more than one occasion.
"We deserved something from the game," said Coppell, speaking after the game.
"We definitely thought we were worthy of something this afternoon. I'm convinced and the players are convinced that we should have had at least two penalties so obviously we're disappointed," he fumed.
"I won't moan about the referee but it must be said it takes a brave official to come here and give a penalty kick, but I'm not going to blame him."
The controversy started early in the second half when American international Bobby Convey, who was pushed around by Millwall players all afternoon, appeared to be sandwiched between two Lions players as he tore into the box, but referee Hill said no penalty.
But the real controversy was still to come. Late in the game striker Dave Kitson appeared to be tripped by goalkeeper Graham Stack, but the referee ruled that there would be no penalty.
And, deep into stoppage time, Steve Sidwell was scythed down by Josh Simpson only for the ref to once more say 'no penalty'. Unbelieving Reading players surrounded the official, but to no avail.
Although Coppell was clearly unhappy with the referee's decisions, he admitted that his team missed too many chances.
"We had enough chances to take something from the game, so that's where the responsibility lies," he said.