Master baker Lionel Vatinet makes this dense, super-flavorful bread with locally milled rye flour. Slideshow: How to Make Scandinavian Rye Bread
In a small saucepan, cover the rye berries with 2 cups of the water and bring to a boil. Simmer gently over moderately low heat until all of the water has been absorbed and the rye berries are al dente, about 40 minutes. Spread the rye berries on parchment paper and let cool completely.
Meanwhile, in another small saucepan, cover the millet with 1 cup of the water and bring to a boil. Reduce the heat to moderately low and simmer until all of the water has been absorbed and the millet is halfway to tender, about 12 minutes. Spread the millet on parchment paper and let cool completely.
In the bowl of a stand mixer fitted with the paddle, mix the yeast with the remaining 2 1/4 cups of water and let stand until foamy, 10 minutes. Add both of the flours and the salt and mix at low speed for 5 minutes. Increase the speed to medium and mix for 2 minutes. Mix in the cooled rye berries and millet along with 3/4 cup of the rolled oats. Scrape the dough into a greased large bowl and cover with plastic wrap. Let stand in a warm spot until doubled, about 2 hours.
Scatter the remaining 1/2 cup of oats on a work surface and scrape the dough onto them. Roll the dough until coated with the oats, then pat into a large brick shape. Transfer the dough to a greased 9-by-5-inch loaf pan and cover with a damp kitchen towel. Let stand in a warm spot until slightly risen, about 1 1/2 hours.
Preheat the oven to 450°. Bake the bread for 55 minutes to 1 hour, until lightly browned on top and an instant-read thermometer inserted in the center registers 200°. Transfer to a rack and let cool for 30 minutes. Unmold and let cool completely.
The bread can be kept wrapped in plastic at room temperature for 5 days.