Josh Wright had an £8,000 Cartier watch taken from his jacket pocket while he was training.
The club has started an internal investigation, as the only people thought to have access to the dressing room were the club players and staff.
"The watch was brand new - I had only just bought it. I felt sick when I went back into the dressing room and discovered it had been stolen," Wright told The Sun.
"It wasn't just because the watch was expensive - the insurance should cover that. It was the thought of someone - probably someone I know at the club - going through my pockets."
A source at the club told Millwall fan website NewsAtDen that they suspect "an employee - possibly even a player" is to blame for the thefts, which all involved watches worth thousands of pounds.
The thieving originally started back in March when two watches went missing in the space of three days at the club's training base in Calmont Road in Bromley, but a police investigation came to nothing.
Yet after three more thefts in recent days, the Lions are determined to get to the bottom of it - and Wright for one wants to see the culprit punished.
"It's a shame because we're such a close-knit friendly club. I can’t believe someone is doing this," he said.
"The sooner they catch the person or persons responsible the better. And when they do I hope that they are named and shamed."