The goalless draw at the New Den left Forest in fifth place, four points behind Swansea, but Davies was nevertheless pleased to leave with a point.
"I'm very proud with that," Davies said. "We've come to a very difficult place.
"They say many things about Millwall fans, but I've got great respect for them. They get behind their team, they make it an intimidating place.
"Many, many sides in the next few weeks will find this place very, very difficult. That's why it's a big performance for us and a big point for this young side."