The Owls, who are now nine games without a win in the league, have not scored for over 400 minutes in front of their own fans, though they looked more threatening than they have done in a while in this stalemate.
Jeremy Helan and Stevie May brought good saves out of Adam Collin, while they were nearly the recipients of a fortunate own-goal when Kirk Broadfoot's backpass was over-hit and Collin missed his kick after the break.
But it could have been even worse for Stuart Gray's struggling side had the Millers been more clinical in front of goal, as although they were far from their best, they created the clearest chances.
Paul Green had the best of those for Steve Evans' men but he planted his free header wide in the first half while Paul Taylor's effort was blocked after the break.
In the end, it petered out, with the Millers happy to leave Hillsborough without defeat for the fifth game in a row.
The game had all the early bluster of a local derby with tackles flying in, but it was Wednesday that looked the most threatening, with Gary Taylor-Fletcher, making his first start, flicking Helan's cross just around the post.
The Millers were able to weather the early storm, though, and had a golden chance to go in front after 20 minutes.
Ben Pringle whipped an inviting corner in and it found Green but the Republic of Ireland midfielder placed his cushioned header wide of the post.
But that gave Evans' men confidence to go on and be the dominant force and they had further opportunities to take the lead as Green headed over, Taylor chipped wide and Pringle drove straight at Kieren Westwood from the edge of the area.
The lack of confidence Wednesday had in front of goal was showcased when on a rare attack in the opening period, substitute Atdhe Nuhiu blazed wide from a good position inside the area.
There was a frantic nature to the start of the second half and Wednesday nearly broke their home drought, though it would have been a comical own goal.
Nuhiu put pressure on cumbersome Broadfoot from a long ball and the Millers defender put far too much on his backpass to Collin, who barely made any contact with his clearance and the ball ricocheted just wide.
That looked like the only way Wednesday would score as again the visitors created the better chances.
Right-back Frazer Richardson fired over from the edge of the area following a quick break and then Taylor had an effort blocked with Westwood out of position.
Grays' men finally stirred, fired on by a crowd desperate to witness a goal, and Collin had to palm Helan's stinging drive around the post and then Glenn Loovens hooked the resulting corner just wide.
There was a real moment of contention 10 minutes from time as the home side were adamant they should have been awarded a spot-kick after Kieran Lee appeared to be wrestled to the ground by the hapless Broadfoot, but referee Nigel Miller insisted there was no foul.
May then tested Collin as Wednesday went in search of the win but the derby spoils were shared.