Holloway, whose side triumphed thanks to one goal in each half from Thomas Ince, admitted Phillips had been the subject of a ?5million bid from Premier League Southampton.
The 21-year-old, who joined Blackpool from Wycombe in 2010, has asked the Seasiders to let him go, but despite pulling out of the side who faced Millwall, Holloway claims he is going nowhere.
"I just want to keep the players I have here now," he said.
"What we do we do together. We had a meeting about the Matt Phillips situation yesterday.
"The situation was so public I couldn't lie to my players and tell them otherwise. He has handed in a transfer request but that means nothing.
"They [Southampton] have offered ?5 million but we don't need the money. So what can they do? The player is on a contract and he's signed it.
"The lad [Phillips] is very disappointed and he is very stubborn and he didn't feel he could play today.
"He was in my line-up until he told me that, and [Tiago] Gomes came in and he set up the first one so that's the way it goes.
"Ince comes from good stock. He's a great lad and I'm delighted for him. The game was tight and it was a fantastic flick from Gomes to open it up. It was a great one-two. It gave us confidence."
Ince struck the first on 32 minutes after combining with Gomes and then wrapped up the game on the hour mark by finishing off Gary Taylor-Fletcher's through-ball in style, to leave Millwall boss Kenny Jackett looking on in envy.
"It is a disappointing start. Ince was the difference, he sparked them and scored two very good goals," he said.
"We put in some terrific crosses and the forwards created chances, but their centre backs defended very well.
"It was a couple of bits of brilliance from Ince which won it. We were a bit disjointed at the back. The distribution was poor and that could be better and needs to be worked on, and I think they were poor goals to concede.
"We have enough experience at the back so we should have been able to cope.
I was encouraged by the way we went forward. Andy Keogh and Darius Henderson will score goals, they were encouraging to see.
"I don't have anyone in mind to bring in. The equation lies with the players we already have at the club. We need to strengthen but need to do it with the players that we already have. I am not worried about the forwards, but we need to work at the back on the distribution, but I am not thinking of bringing in a new defender."