The 26-year-old has agreed a two-year deal with the Lions, with the option of a further 12 months.
Former Bury and Rotherham United wide man Worrall scored nine goals in 84 appearances during two years with the Shrimpers.
"David adds something different to the team and has good delivery," Millwall boss Neil Harris told the club website.
Worrall is the club's first signing since their play-off final defeat by Barnsley at Wembley.
Find all the latest football transfers on our dedicated page.

Pershore Town Council has recommended naming a road on an estate to be built opposite the town's high school after Clive Corbett, who has been headteacher since 2002.
The council also wants to name other estate roads after previous heads.
Councillor Charles Tucker said: "We try to have a historical or geographical link when we name new roads."
Mr Corbett said: "I'm delighted, but above all it's a great honour for the school and I hope it reflects its importance to the local community."
He is the fifth headteacher at the school, which was founded in 1932.
The planned road names will have to be approved at a meeting of the town council later this month.

Denbighshire council bought a terrace of properties on Queen Street to make way for new apartments and retail units.
However, structural engineers raised concerns about the condition of some and part of the road was closed to traffic earlier this year.
It will be closed again from Monday as demolition work takes place.
The buildings being demolished are numbers 43 to 47, which was an adult shop, and 49 to 55, which were already derelict and had been knocked through inside a number of years ago.
While the road will remain open to pedestrians and for businesses, the council hopes to reopen it for through-traffic in July.

The 32-year-old Pole, who has limited movement in his right arm, drove 115 laps in a 2012 car for the Renault team at a test in Valencia on Tuesday.
"I'm proud with what I achieved but also it shows what I've lost," he said.
"I don't know what the future will bring but I ran with good pace and consistently in difficult conditions."
Kubica's F1 career was cut short following a crash in a rally car in February 2011 as he was preparing for his second season with Renault.
He was severely injured when a crash barrier pierced the car, causing multiple arm and leg fractures and partially severing his right arm.
Kubica, who won the 2008 Canadian Grand Prix for BMW Sauber and was considered one of the fastest and most talented drivers in the sport, competed in rallying from 2013-16 and has begun to explore a comeback to circuit racing.
His comments, made in a statement by the Renault team, did not address whether he thought he was capable of returning to F1.
So far, this has not been possible because the limited movement in his right arm had meant he was not able to turn a steering wheel sufficiently in the tight confines of an F1 cockpit to be able to drive on all the tracks on the calendar.
Millwall have signed David Worrall following the winger's departure from League One rivals Southend United.
[NEXT_CONCEPT]
A road on a new estate in Worcestershire could be named after the headteacher at the local school.
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A main road in Rhyl will be closed to through-traffic from Monday while buildings are demolished.
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Robert Kubica said he had "mixed feelings" about his performance after his first test in a Formula 1 car since injury curtailed his career in 2011.