A Great Britain and England international, Millward made 406 appearances for Hull KR, scoring a club record 207 tries and kicking 607 goals.
He was awarded the MBE for his services to the sport in 1983 and inducted into the Rugby League Hall of Fame in 2000.
After his retirement from playing, he coached the Robins for 11 seasons, winning six trophies.
Hull KR chairman Neil Hudgell said: "This is an incredibly sad day for everybody associated with the club and for all rugby league supporters.
Media playback is not supported on this device
"There is no doubt Roger will go down in history as Hull KR's greatest ever player, coach and captain and an all-time legend of the game.
"At his peak, he was a player blessed with exceptional skills, outstanding leadership qualities and genuine bravery. He was also a true gentlemen of the game who remained very close to the club in his later years.
"As a child growing up and supporting Rovers, Roger was my hero and he remained that right up until today as he has dealt with his many health problems in later years with courage, humility and good humour.
"The club is in mourning and our very deepest sympathies go out to Carol, his family and his friends as well as our president Colin Hutton who shared so many years of great success at the club with Roger during the 70s and 80s"
Millward joined Hull KR from hometown club Castleford in 1966 and remained at the Robins until 1980, with his last appearance coming as captain in the 1980 Challenge Cup final win over rivals Hull FC - his fifth trophy as club skipper.
He would go on to have a short spell with Australian side Cronulla Sharks.
After 25 years as player and coach with Hull KR, Millward had a short spell as coach of Halifax in 1991-92.
Former Castleford and Hull Kingston Rovers stand-off Roger Millward has died at the age of 68.