The Chiefs on Saturday slumped to a ninth successive loss, including all eight of their matches in Super Rugby Aotearoa, capped by a 31-18 loss to the Wellington Hurricanes.
Gatland, who returned to New Zealand after 12 years in charge of Wales, is taking a leave of absence to concentrate on the British and Irish Lions tour of South Africa next year, with McMillan stepping in as Chiefs coach.
"We're disappointed but we'll learn a heck of a lot from this and will make us stronger as a unit and better going forward," Gatland said after their final match.