Millen was placed in temporary charge when Ian Holloway left on October 23 and, even after the international break, and the Barclays Premier League hiatus remains at the first-team helm despite rumours of a deal with former Stoke boss Tony Pulis being close.
"We're none the wiser and we're just going to get on with the work," Millen said.
"I spoke to the chairman (Steve Parish) on Tuesday and the chief executive (Phil Alexander) this morning.
"As far as I know they're in discussions, I don't know who with, and I was told to take training today and prepare for Hull on Saturday.
"It's been like that for four weeks now. I know there are talks going on. How far down the line they are I don't know.
"It's not easy with all this speculation. (But) it's a massive game for us on Saturday and we have got to try to stay focused for that."
Millen believes former Stoke boss Pulis has the credentials required to do well at Palace, who are three points adrift at the foot of the Premier League table.
"Tony's an experienced manager at this level," Millen added.
"He's been successful in the Premier League. We do probably need some experience around the place, because the Premier League is new to a lot of us.
"Someone with Premier League experience, who knows how to win football matches at this level, will hopefully be a big help to the club and to the players.
"We haven't got a lot of time now. We haven't got a bedding-in period.
"A manager needs to come in, knowing what he wants to do, how he wants to play, assess the group we've got and try to get the best out of them."
Millen is surprised no-one has snapped up the job yet, but is now focused on achieving a much-needed win, rather than the managerial search.
"It's a good job," said Millen, whose squad travel to Hull by train on Friday.
"It's a good club to work for. It's a compliment to myself and the staff that the chairman hasn't felt a need to rush into appointing anyone and we've enjoyed it.
"The players have responded well, but we know also we've got to start picking some results up.
"It's irrelevant, really, who the manager is on Saturday, the players will be prepared now and hopefully we can get a result."