the beginning of the 2004–05 season he was loaned out to Steve Cotterill's Burnley for four weeks. He gained much admiration from the Burnley fans for his excellent performances, and the loan deal was extended into another month. He scored in the "Clarets" 2–1 win over Leeds United at Elland Road. The young Welshman spent some of his loan spell at Turf Moor playing as a right-winger. He joined fellow Championship side Coventry City on a three-month loan in January 2005, becoming Micky Adams's first signing at Highfield Road. He played 15 games for the "Sky Blues", helping the club to narrowly avoid relegation. He spent the entirety of the 2005–06 season on loan at Coventry City. He made 34 appearances at the club, helping Coventry to a respectable eighth-place finish. He was also handed a new contract with Portsmouth in March 2006, causing Coventry boss Micky Adams to snipe "I am sure it will be nice playing in their reserves." In October 2006, he was loaned to Coventry for the third time, in a deal which was extended until 1 January 2007. This followed the collapse of an expected loan move to Queens Park Rangers. He played 13 games before returning to the South coast. On 10 January, a loan to former club Swansea City was agreed until the end of the 2006–07 season. He featured in 11 League One games for the "Swans", falling somewhat out of favour after manager Kenny Jackett was replaced by Roberto Martínez. In March 2008, Duffy rejoined Coventry City for the fourth time on loan until the end of the 2007–08 season. However he tore a thigh muscle the following month, and was sidelined for the rest of the season. He was told he was free to leave Portsmouth in January 2009, having started just the one game for "Pompey" in five years. Millwall In February 2009, Duffy joined Kenny Jackett's Millwall on a contract until the end of the season. He played 12 League One games for the "Lions", but was one of ten players released from The Den in May 2009. Exeter City In July 2009, Duffy signed for newly promoted League One side Exeter City. He made 44 appearances in the 2009–10 season, picking up a total of 12 yellow cards during the course of the campaign. He made 50 appearances in 2010–11, and again helped Paul Tisdale's side to