Coach Tyrone Corbin said it was apparent during that 89-88 loss that Millsap wasn't quite right but was attempting to play through it.
"Paul is one of the guys who doesn't want to miss games," Corbin said, "and you know if he's out he's hurt."
Millsap's knee will be re-evaluated upon the team's return to Salt Lake City, and the veteran is considered day-to-day.
The Chicago game was the Jazz's third loss in a row after they held leads in the final minutes of each.
Millsap's injury is another twist in a long, adventurous week for the Jazz, in which they've missed both Millsap and Al Jefferson with injuries and on Wednesday finally got back Mo Williams, who had missed 32 games due to thumb surgery. Along the way, they've lost six of their last seven games and the last three by a combined five points.
"It's too frustrating," Millsap said. "You want to be out there so bad, especially in the position we're in right now. But you just got to know your body and now how you're feeling, what you can and can not do and be smart about it."
Marvin Williams, scout?
While Marvin Williams may be taking a reduced role with the Jazz after being moved to the bench last week, he took on extra duties in advance of Saturday's game at Madison Square Garden.
The reason? The Jazz hoped the forward had some classified intelligence on Knicks coach Mike Woodson.
Williams spent five years in Woodson's system in Atlanta and helped assistant coach Mike Sanders scout the Knicks.
Corbin said Williams was helpful in pointing out some of Woodson's tendencies. It's common, he said, for players to help the game plan when the opponent is their former team or features a former coach or teammate.
"I think the guys welcome that," Corbin said. "They want to be a part of it and they know you value what they think, and we can use that."
Williams, who was traded by the Hawks to Utah in the offseason, said he was happy to see Woodson have so much success with the Knicks after Atlanta did not renew his contract after the 2010 season.
"He's a good coach, man," Williams said. "You look at what he did, they took a bunch of 17-, 18-year-olds and turned them into professionals in this league and took them to the playoffs."
The forward had a chance to have a conversation with his former coach prior to Saturday's game.
"We learned a lot through coach Woodson," Williams said. "To see him with the veteran group and to see him succeed, it's no surprise to see him succeed at all."
After a flurry of reports Friday that the Utah Jazz were on the verge of signing D-League All-Star Game MVP Travis Leslie to a contract, the Jazz failed to make a roster move on Saturday.
All 14 players with the team were in attendance at Madison Square Garden and Raja Bell, estranged and in Miami, had not been bought out.
Leslie, who plays for the Santa Cruz Warriors, was held out of Friday's game at Sioux Falls, but no reason was given. Earlier in the day he posted messages to his Twitter account in which Jazz fans congratulated him on joining the team.
Jazz GM Dennis Lindsey has declined to comment on the reports.