Goalkeeper Connor Ripley was the hero for Latics as he saved two penalties at the end of the League One clash at Boundary Park with FA Cup quarter-finalists Millwall.
The first save was made in the 90th minute with Connor Ripley diving to the right to save. Then in the fifth minute of injury time Millwall got a second penalty after a handball in the box, with Ripley diving to the left to save this time.
Play off chasing Millwall had been pressurising throughout the game and earlier Millwall had gone close through Harry Smith before Paul Green headed over for Oldham.
Millwall also thought they were in front on 64 minutes, only for Oldham skipper Peter Clarke to make a goal-line clearance from Fred Onyedinma.
The 0 - 0 scoreline gives is a valuable point for Latics keeping them above the relegation Zone.