Keith Hill brings his League Two side, who sit fifth but without a goal in two matches, to the NYS this Saturday in the FA Cup.
And keeper Lillis is condfident they can reach the third round for the first time in nearly nine years.
"You've got to take Rotherham first and we're not going to take them lightly," Lillis told BBC Manchester. "We'll put all our energy into that game and see where we go from there.
"People will probably say it will be a home win, but we're quietly confident that we can go there and give them a good run for their money. If they've been to the last couple of games, they might underestimate us and that might benefit us.
"The FA Cup is all about heroes, especially with the underdogs and the lower-ranked teams."
Rochdale's last appearance in round three was a 4-1 defeat at Charlton, who were then in the Premier League.