They had to do it the hard way though, despite the visitors going down to ten men they took the lead. However, Jed Wallace's free kick brought the game level.
Cooper sealed the points in the 90th minute.
Story of the game
Blackpool should taken the lead five minutes in, Cooper's under hit back pass was intercepted by Shayne Lavery, his shot across the face of goal looked to have been saved by Lions stopper Bartsoz Bialkowksi but a goal kick was given.
The visitors were reduced to ten men in the 14th minute, Callum Connolly was shown a straight red card for a challenge on Benik Afobe who was clean through on goal. From the resulting free kick Scott Malone curled into the hands of Chris Maxwell.
On 37 minutes, Malone went close, his combination with Matt Smith led to an easy save for Maxwell. the wing-back came close again in the 42nd minute, firing a shot over the bar.
George Saville thought he gave the Lions the lead in the 48th minute, he headed home the near post from a Malone corner, but the referee spotted a foul in the box, ruling out the goal.
In the 55th minute Blackpool took the lead. Josh Bowler, defending a corner managed to slide the ball into Lavery who beat Murray Wallace for pace, the on rushing Bialkowski couldn't hold onto the ball, allowing it to break for Lavery who finished into the net.
Despite conceding, the bounce back ability of Gary Rowett's side is a plus and in the 62nd minute they drew level. Jed Wallace stepped up and smashed home a free-kick from the edge of the box, leaving Maxwell with no chance.
Maxwell then made a superb save to deny substitute George Evans,after Wallace had skinned his marker and set the chance up.
As stoppage time approached, the Lions stole all three points. Wallace's delivery found Cooper in the box and his towering header nestled in the roof of the net to break Blackpool hearts.
Lions concede yet another poor goal
It's safe to say that at times this season Millwall's defending has been shambolic. The two goals at Cardiff followed by this one here show that defensively the Lions are far from solid without their captain Shaun Hutchinson at the heart of it.
It's in stark contrast to last season where defending was something the Lions were so strong at. They have now conceded eight goals in their opening five games - something no one associated with Millwall would have expected.
Jed Wallace comes up trumps yet again
Millwall's go to man for so long has been Jed Wallace and he once again stepped up when needed. The Lions were trailing to the ten men when George Saville was fouled. He took his time and then brilliantly smashed home the free kick leaving the goalkeeper with no chance at all.
As he enters the final year of his contract, he is now firmly in the shop window with a new contract offer on the table but as of yet no sign of it being signed. What Lions fans and Gary Rowett will be hoping is that no one comes in for their man in the final days of the transfer window.
Lions secure first win
Relief around The Den at full time as Millwall secured their first win of the season. Could this be the game changer and the spark that starts their season after what has been a lacklustre start?
Gary Rowett made two changes to the side that started the 3-1 defeat against Cardiff City last weekend, with Smith and Mitchell coming into the side.
Blackpool named Jerry Yates in their starting lineup.