Wise then signed for Millwall on 24 September 2002 and became player-manager in 2003. Millwall were the first team from outside the top flight to reach the FA Cup final since Sunderland in 1992 when Wise led them to their first ever FA Cup Final in 2004. The First Division side lost to Manchester United 3–0. Despite losing, Millwall qualified for a place in the UEFA Cup for the first time in their history, as United had already qualified for the Champions League. They were knocked out in the first round by Hungarian champions Ferencváros. He resigned at the end of the 2004–05 season. Wise decided to leave as a new regime entered the club.