sounds strange to me

Yes, it does seem strange when you think about it-- but it is certainly in use, and the form with the definite article is the usually expression. I presume that 'million' is a unit of departure, conceptually-- indicating that a heck of a lot left, because each departing unit is of one million.

You will also encounter a usage, more common among native English-speakers outside the United States, which is "in their . . ."

For example: They left in their millions.