The Tigers have been in the headlines recently due to the resignations of chief executive Steve Ferres, commercial manager Nick Fozzard and the latter's wife Sarah, the club's marketing manager.
However, Millward said: "I'd really appreciate it if all we did was talk about rugby league. Some of the conspiracy and manipulation of the situation to say that we're down and out (is wrong). We've got a chairman (Jack Fulton) who is so supportive of us."
After finishing second-bottom in 2012, Cas have looked stronger this term and Sunday's narrow defeat - which came after they had rallied from 22-4 down to level the scores - represented their first loss at home.
"The off-season was all about being a competitive team and what the fans want is for this team to do Cas proud, regardless of the result," Millward added. "I felt it was really disrespectful to my players last week; there was a big story saying 'club in turmoil - media manager leaves'.
"We'd just had a 17-all draw and a great game against Catalan and the whole story was about that. I don't think that's what Cas people want; they're a working-class community and they just want their rugby league team to be really competitive."
Millward was understandably buoyed by his team's fightback against Wigan, which featured a brace of tries from powerful winger Justin Carney. Castleford were ultimately denied by Chris Tuson's second score, which came after Rangi Chase had struck the woodwork for the hosts with a drop goal attempt.
"It was a tough way to lose right at the death there, but I can't fault our players' commitment or attitude," Millward said. "I'm really happy with the progress we've made. The effort was very strong, but you like with effort to get the result too. I thought the players were entitled to something."
Wigan coach Shaun Wane admitted his side had got off the hook after failing to build on their first-half superiority. "I'm happy to get the two points but the manner we got them in I'm a bit disappointed with," said Wane.
"I thought we played well in parts, but we just weren't consistent enough. I'm glad we showed some steel in finishing it off, but that was definitely a get-out-of-jail card and you've got to commend Castleford for coming back."