I really don't understand the surprise or negativity surrounding this rumour/link. CW is a well known, long term admirer of LG and a number of people seem to be basing their view on a single game last season when he admittedly didn't have one of his best games.
Reading some of the Millwall's supporters views of how he's performed over the previous few seasons including the standing ovation he received on Saturday for his MotM inc. scoring performance may be a better indicator.
I, for one, would be very much in favour of him being signed. Contrary to the views of some others above, I think he's certainly an improvement on the current strikers and would add some much needed mobility up front.
Whilst it's not the be all and end all, he is a huge Blade (check out the tattoo on his calf!), comes from the area (& used to play Meadowhall League football @ Warminster Rd) and I'm sure he'd jump at the chance to move back given the chance.
I very much doubt Millwall would want to sell so it may cost to prise him out.