Perhaps this category should really be 'some' department stores, because we hear very different stories from different Main Street brands. Macy's and Sears have been hammered almost to the point of extinction by a downturn in sales, with even Kmart under increasing financial pressure to stay afloat. Millennials are still buying clothes - it's not like they're walking around naked - they're just not buying them from department stores.
The average Millennial is more likely to spend money on an experience than a brand. If they can afford to go on a luxury vacation by saving money on designer clothing, they'll do it. They're not as attracted by big-name brands as previous generations have been, and are happy wearing private labels, or picking up discount clothes from Zara or H&M. Putting a high-fashion label on the same t-shirt you can buy for half the price at H&M without the label no longer works.