With the Whalers, Millen pushed incumbent starter John Garrett into the backup role and logged a heavy workload. After playing in 55 games for the Whalers in 1981–82, Millen represented Canada at the 1982 Ice Hockey World Championships. In 1983–84, he led the NHL with 60 appearances, but he could not get the lowly Whalers into the post-season. During the 1984–85 season he was involved in a blockbuster trade that sent him to the St. Louis Blues with Mark Johnson for goaltender Mike Liut and forward Jörgen Pettersson.