He was highly-rated by Paphitis and has previously been in charge at Charlton and Brighton.
Midfielder Tim Cahill said: "Gritt would be a very popular choice and is someone the boys have mentioned.
"I think we need someone who knows the players and the club. He knows us all well and everybody was very disappointed when he left.
"I think we need to get someone in quickly so we can get a bit of stability and sort out all the lads who are coming to the end of their contracts."
Millwall players were shocked that McGhee's departure came so early in the season, but Paphitis denied he was being unrealistic about his Premiership ambitions considering the club's resources.
He said: "Expectations here have always been high. We have punched way above our weight for a long time, but that is no excuse for accepting second best."
