The 34-year-old lost 6-4 6-3 to Slovakia's Alex Molčan in the second round of qualifying matches on Thursday, playing on court 3 and Melbourne Park.
With a career spanning 16 years, Millman’s highlights included one ATP title and one grand slam quarter-final, with a career high ranking of 33 in 2018.
In his on-court interview, Millman thanked his family for their support, and spoke of the “really special” feeling of ending his career in Melbourne.
“It’s been 16 years I’ve been coming to this tournament and I really just wanted one more go,” he said.
“It might not seem like much to bow out in qualifying, but (the crowd support) means a lot,” he said.
Fans have been vocal in their disappointment over Millman not receiving a wildcard to play his home slam for his final tournament.