Millwall have been in poor form and sit just above the drop zone after three straight defeats.
Lomas left St Johnstone to join the Lions in June but lost his job in the wake of the 4-0 defeat at Watford.
Coach Neil Harris and academy director Scott Fitzgerald are in temporary charge of the team, who are 20th in the Championship after Saturday's loss.
"We are very disappointed that it hasn't worked out for Steve," Millwall chief executive Andy Ambler said.
"He has been thoroughly professional in his approach to the job during his short period with the club and remains a very promising young manager.
"However, the board feels that it is in the best interests of Millwall that we make the change at this time and the search for a successor to Steve begins immediately."
When he arrived at the club, Lomas admitted he faced a battle to win over the Millwall supporters due to his spell as a player with the Lions' rivals, West Ham. He is the 7th manager to go in the Championship thus far this season.