In smoggy and dusty environments, vision- and laser-based localization methods are not able to be used effectively for controlling the movement of a robot. Autonomous operation of a security robot can be achieved in such environments by using millimeter wave (MMW) radar for the localization system. In this study, an approximate center method under a sparse point cloud is proposed, and a security robot localization system based on millimeter wave radar is constructed. To improve the localization accuracy of the robot, inertial localization of the robot is integrated with MMW radar. Based on the concept of inertial localization, the state equation for the motion principle of the robot is deduced. According to principle of MMW localization, the measurement equation is derived, and a kinematics model of the robot is constructed. Further, by applying the Kalman filtering algorithm, a fusion localization system of the robot based on MMWs and inertial localization is proposed. The experimental results show that with iterations of the filtering algorithm, the gain matrix converges gradually, and the error of the fusion localization system decreases, leading to the stable operation of the robot. Compared to the localization system with only MMW radar, the average localization error is approximately reduced from 11 cm to 8 cm, indicating that the fusion localization system has better localization accuracy.