Dunne wasn’t involved in the previous weekend’s 2-2 home draw against Blackburn but was given the armband at the City Ground after Holloway was impressed with words of wisdom the defender gave to the group during a practice game last week.
The Lions chief said: “I think making Dunney captain and putting him inside with his use of the ball took a risk, because I didn’t know Darius Henderson wasn’t going to play.
“I was delighted and made him captain because he said some really good things.
“He has been here 22 years and I think he cares like I do. It was great.”
Holloway added: “It was a strange thing to have to do but I’m delighted for them and didn’t make a big issue out of it.
“I think it showed how much they want to work hard and stay in this division.
“It’s a wonderful division to stay in because it’s that close to the big wigs.
“The lads did it, they actually went out there and the ones who played confidently yesterday were still relaxed and still playing confidently today.”
Meanwhile, Holloway has revealed he may have to make more changes to his team for tomorrow night’s trip to Wigan.
Nicky Bailey and Lee Martin made welcome returns to the fold at the City Ground after injury lay-offs and Stefan Maierhofer completed just over an hour on his first start.
But with the big striker still not fully fit, the Den boss may have to tweak the side which won at Forest.
Hollway explained: “Tuesday, will I be able to pick exactly that team again after Bailey has been out for God knows how long, after Lee’s been out for God knows long?
“That’s Maierhofer’s first however many minutes for us, so will I be able to start with that same team?
“The answer is probably no.
“I think we won’t see that same level of performance, but it’s really important that the other lads that weren’t there actually get things right as well, and I’m sure they will.”
Millwall make the long trip up to Lancashire on Tuesday evening looking to make it two wins in a row and pile the pressure on neighbours and fourth from bottom Charlton.
Holloway added: “That’s another lovely journey for us.
“It doesn’t make sense, but those computers know what they’re doing.
“As I say, we’ve got six more cup finals but we’ve probably got to win all of them.
“We’ve already sold 3,800 season tickets already for next year.
“They are great people and I want to try and make them proud because I haven’t yet.”
Follow us on Twitter @NewsShopperSprt