The Blades have lost three and drawn one of their last three league games at Bramall Lane and clinched their first league win in five on the road at Millwall last weekend to climb two points clear of the relegation zone.
Montgomery told the Sheffield Star: "Ours fans are absolutely superb and really get behind us. Of course they let us know when things aren't up to scratch and they don't like to see us lose. We don't like losing either.
"But to say we don't like playing there just isn't true. Pressure comes with expectation and I'd rather be at a club that's expected to do something like us than not.
"It's up to us to give them something to shout about as well and when they do they make a massive amount of noise."
Source: PA
Source: PA