Meanwhile, Moyes insists that trying to win the FA Cup remains a big priority this season but admits that Chelsea's runaway lead in the Premiership will mean that it will be the same for many clubs.
Everton have endured a miserable record in cup competitions so far this season, being knocked out of the Champions League, UEFA Cup and Carling Cup all at the first hurdle.
But Leon Osman's late equaliser at the New Den on Saturday earned Everton a 1-1 draw and a chance to progress in a Goodison Park replay on Wednesday, January 18.
Moyes said: "The FA Cup is very important for us, we've got to try and get a good cup run. But it's going to be the same for a lot of teams in the Premiership because for many of them, the league title is hard to win.
"We've not had the best of Premiership seasons so far but we'd really love to be playing at the new Wembley - if it's ready.
"Staying in the Premiership is such a big thing for all the clubs so that is always going to be more important but we want to win every competitive game we play in."
After a hectic schedule of four fixtures in eight days, Moyes left record £6million signing James Beattie on the bench at the start but insisted that he never lacked any respect for the opposition.
He said: "I wasn't taking Millwall lightly, all the players in our squad are good enough to play.
They've all played their part this season and we know what they're capable of.
"I thought it was right to start with Marcus Bent and James McFadden up front as they were fresher. We've not got a big squad but we've got to make the most of it."
Moyes also paid tribute to his Australian midfielder Tim Cahill who had made an emotional return to the New Den.
Cahill spent eight years with the Lions, scoring 57 goals - including the one that got Millwall to the 2004 FA Cup final - in 250 appearances.
Moyes said: "Tim's been a terrific signing for us and I'm sure everyone at Millwall knows he's a great lad to work with. Even when I was at Preston I was always interested in him.
"Tim tried to take the fight to Millwall and had four attempts at goal."
