Migrating to higher frequencies using millimeter wave (mmWave) signaling will expand the networks capacity to satiate the current demand for higher throughput. However, the overhead cost required for a centralized scheduler to function in an mmWave network quickly becomes intractable as user and access point (AP) density increase. Alternatively, a decentralized approach where users in mmWave networks opportunistically transmit may greatly benefit from a higher AP density. Taking advantage of the AP diversity projected for mmWave networks a user may sequentially probe APs before selecting a destination AP for transmission. An opportunistic user in an mmWave network must balance the benefit of AP diversity against the overhead cost. We present an mmWave opportunistic network model encompassing the probability of an AP becoming unavailable and the cost of initial access. Our optimal opportunistic strategy is a set of thresholds, which are computable a priori. Bounds on average overhead, delay and throughput of our strategy are also presented. Via numerical analysis, we show that at finite and relatively small probings our proposed strategy outperforms practical alternatives.