Alan Archibald's side were just seconds away from a huge three points in the Capital, courtesy of a superb Kris Doolan goal just after the break.
After surviving a second-half onslaught from the hosts, the Jags were denied at the death as James Collins snatched a point for new boss Terry Butcher on his Easter Road debut.
The share of the spoils leaves Thistle ninth in the Premiership standings as they wait for a win to end their recent barren run.
There were plenty of positives for gaffer Archibald to take from an encouraging showing and defender McMillan reckons a point is a step in the right direction for the Firhill side.
He said: "It was a hard one to take. But we can look at it as a good point, Easter Road is a hard place to go and get a result. It puts an end to a bad run for us so we will take a point.
"When it gets to the latter stages and you think you have got the three points, it is hard when it is snatched away like that.
"Before the game, we would have taken a point. So we can't be too downbeat about it.
"It is a good point, a well- earned point and defensively it was a better showing from us.
"I thought we had done enough to get the points. We kept going right until the end but they have scored with the last kick.
"We expected to be put under pressure, that is what Terry Butcher's sides do. They went back to front and put us under pressure.
"We have to dust ourselves down and go again against St Johnstone. It is a point that we will take and move on."
Archibald was without a host of first team stars for the Capital clash on Saturday, with Stephen O'Donnell and skipper Sean Welsh missing out through injury while Conrad Balatoni, Stuart Bannigan and Gary Fraser were absent through suspension.
McMillan turned in a decent performance at right-back as he continues his recovery from an injury-plagued start to the campaign. And the 25-year-old was pleased to see the Jags' squad showing their strength in depth against Butcher's side.
He said: "I am feeling good, it is nice to be back. It has been a long road for me but I have been in about it with the boys and they have kept me upbeat.
"It is part and parcel of football, you get injuries and miss games. I am happy to be involved again and it is another game under my belt. There is a lot of competition for places in the squad, that is the beauty of having a good squad.
"It is a pity that Sod has got injured but, as I say, that is part and parcel of football and hopefully I can get a wee run of games now.
"We had Banzo, Connie, Welshy and Sod all out on Saturday and they are players who played a big part last year and have done so far this season.
"It is a squad game and the boys that played did well and got us a point that we are happy with."