The former Hillsborough skipper was not in Brian Laws' plans and his contract was cancelled by mutual consent last week.
He had been on trial at Leeds but opted to join Mark Robbins, who spent a short spell at S6, who has now brought in ten players to The Millers since being named manager.
Coughlan of course will meet up against his old colleagues on August 16 when Rotherham face The Owls in the league cup.