The Lions won the match on November 18 1-0 but an allegation of online abuse was made after the contest.
TV footage shown by Sky Sports News as part of an investigation into racism in the game showed Leeds' Senegal international forward El-Hadji Diouf being racially abused.
Millwall chief executive Andy Ambler said: "Like all Millwall fans and football fans generally, we're appalled by the footage we've seen.
"Clearly that behaviour is unacceptable in any football ground in the country and at Millwall we will ban the individuals for life and we hope that Sky will pass the footage to the police so that further action can be taken.
"Sadly racism exists in our society and certain individuals want to bring it into football grounds. It's down to us in football do to more.
"We think football is the solution to the problem and the work that we do will continue and we need to continue it.
"That day against Leeds obviously there was an allegation of abuse made online initially. We investigated it straight away.
"We interviewed stewards, police, players, we looked at the TV footage too as it was live on Sky.
"After speaking to the player who had the alleged abuse at him during the day, he said that he heard no abuse on the day so that was basically at that point the end of the investigation - although we're going to open it again now."
Meanwhile, Marvin Sordell tonight claimed he was "surprised" but not shocked that racism exists in football.
The Bolton forward claimed on Twitter that he was taunted by fans at Millwall in October as he warmed up as a substitute.
A banner claiming "Sordell is a c***" was unveiled in a Millwall section of the Lion's Den ground at a later game, while a 13-year-old boy was banned from the ground.
Sordell who represented Great Britain at the London 2012 Olympics, has faced racial abuse on social media websites.
He said: "We're a developed, multi-cultural society. It's surprising it can still go on - but it doesn't exactly shock me.
"We can't be silent about it. We need to make people aware that there is a problem going on and only when people are aware of the problem can it be sorted out.
"As long as people are brave enough I'd say to come out and say exactly what's happened to them then I think we'll be going in the right direction because the first thing that needs to happen is that we can't be silent about it."
The 21-year-old admitted abuse can inspire him, adding: "Sometimes it gives me that bit more fire to prove people wrong and that I can rise above it."