The 39-year-old former Manchester United and Rangers defender left the Scottish Premier Division club, Raith Rovers, to take over from Mick McCarthy, the new Republic of Ireland manager, at The Den.
"Last Friday I told my board I didn't want to stay at Raith when my contract was up at the end of May, even though they offered me a new one," Nicholl said. "No one knew, yet on Monday Millwall asked permission to talk to me. It's simply incredible."
Nicholl, a veteran of two World Cups with Northern Ireland, had been head-hunted unsuccessfully by several English clubs, notably Norwich City.
Confirming that his long-time assistant, Martin Harvey, will be coming with him, Nicholl said: "I don't sit around wishing my life away, I do everything by gut reaction and I leapt at this chance. Within four months of getting a new job I could be in the Premiership instead of facing an uncertain future.
"I know it's going to be hard, it's a different level. Normally when you take over a club it's in a mess, but Millwall look as if they just need fine-tuning."
Nicholl was always the first choice for the Millwall chairman Peter Mead. "When we said we had a shortlist, it was a list of one," he said.
Bolton are reported to have made a pounds 2m bid for the Norwich striker Ashley Ward in a desperate attempt to find a goalscorer who can shoot them clear of the Premiership drop.
The Everton midfielder Vinny Samways - on offer at pounds 1.5m - is moving to Birmingham until the end of the season. Joining him at the Blues is fellow- midfielder John Sheridan from Sheffield Wednesday. Another loan signing, Sheridan is available for Sunday's Coca-Cola Cup semi-final first leg against his former club, Leeds United.
Sheridan will cost pounds 60,000 for a month's loan, another pounds 600,000 if he agrees to a permanent move, plus a further pounds 200,000 if Birmingham go up.
Leslie Silver, the Leeds chairman, has criticised police moves to bring forward the kick-off of the second leg of the Coca-Cola Cup semi-final, which he says could cost Leeds and Birmingham pounds 100,000 each.
West Yorkshire Police, who fear possible crowd trouble, have asked the Football League to re-schedule the 25 February meeting at Elland Road for a noon start instead of 4pm.
However, that could mean ITV no longer being able to screen the match live. Leeds are particularly aggrieved because West Midlands Police have raised no objection to this Sunday's first-leg starting at 4pm.
"I don't see why West Yorkshire Police should take a different view," Silver said.
n The televised draw for the FA Cup quarter-finals will go ahead on Sunday week. "In all it's broadcasting history, stretching back to the Thirties, it has never been cancelled," the FA's Steve Double said. Postponements and replays mean that only six of the last 16 are known and four fourth- round ties have still to be staged.