<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0306</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2015-10-22</periodOfReport>

    <notSubjectToSection16>1</notSubjectToSection16>

    <issuer>
        <issuerCik>0001372375</issuerCik>
        <issuerName>Millennial Media Inc.</issuerName>
        <issuerTradingSymbol>MM</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001100613</rptOwnerCik>
            <rptOwnerName>Evans Thomas R</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O MILLLENNIAL MEDIA, INC.</rptOwnerStreet1>
            <rptOwnerStreet2>2400 BOSTON STREET, SUITE 300</rptOwnerStreet2>
            <rptOwnerCity>BALTIMORE</rptOwnerCity>
            <rptOwnerState>MD</rptOwnerState>
            <rptOwnerZipCode>21224</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>1</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>0</isOther>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Stock</value>
            </securityTitle>
            <transactionDate>
                <value>2015-10-22</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>U</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>61868</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>1.75</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>13871</value>
                    <footnoteId id="F1"/>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value></value>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <footnotes>
        <footnote id="F1">Represents unvested restricted stock units that were forfeited for no consideration upon the reporting person's resignation from the board of directors of the Company, effective October 23, 2015.</footnote>
    </footnotes>

    <remarks></remarks>

    <ownerSignature>
        <signatureName>/s/ Ho Shin, Attorney-in-fact</signatureName>
        <signatureDate>2015-10-23</signatureDate>
    </ownerSignature>
</ownershipDocument>
