Millihertz quasi-periodic oscillations (mHz QPOs) observed in neutron-star low-mass X-ray binaries (NS LMXBs) are generally explained as marginally stable thermonuclear burning on the neutron star surface. We report the discovery of mHz QPOs in an XMM–Newton observation of the transient 1RXS J180408.9−342058, during a regular bursting phase of its 2015 outburst. We found significant periodic signals in the March observation, with frequencies in the range 5–8 mHz, superimposed on a strong ∼1/f power-law noise continuum. Neither the QPO signals nor the power-law noise were present during the April observation, which exhibited a 2.5 × higher luminosity and had correspondingly more frequent bursts. When present, the QPO signal power decreases during bursts and disappears afterwards, similar to the behaviour in other sources. 1RXS J180408.9−342058 is the eighth source known to date that exhibits such QPOs driven by thermonuclear burning. We examine the range of properties of the QPO signals in different sources. Whereas the observed oscillation profile is similar to that predicted by numerical models, the amplitudes are significantly higher, challenging their explanation as originating from marginally stable burning.