Wikipedia:
In the late 1960s — in response to violence at football matches in England — police began confiscating any objects that could be used as weapons. These items included steel combs, pens, beermats, polo mints, shoelaces and even boots.
However, fans were still permitted to bring in newspapers. Larger newspapers such as The Guardian or The Financial Times work best for a Millwall brick, and the police looked with suspicion at working class football fans who carried such newspapers. Because of their more innocent appearance, tabloid newspapers became the newspapers of choice for Millwall bricks.
The book Spirit of ’69: A Skinhead Bible describes the use of Millwall bricks by British football hooligans (not just skinheads) in the late 1960s:
Newspapers were rolled up tightly to form the so-called Millwall Brick and another trick was to make a knuckleduster out of pennies held in place by a wrapped around paper. You could hardly be pulled up for having a bit of loose change in your pocket and a Daily Mirror under your arm.
The book Skinhead says, “The Millwall brick, for example, was a newspaper folded again and again and squashed together to form a cosh.”
Here.