TL081 is not a particularly good choice for low DC voltages (it's better for AC coupled designs). Precision op-amps have offset voltages in the 10's of microvolts or lower, and there are even auto-zero op-amps that have negligible offset voltage, an drifts in the tens of nV/°C (at some significant cost in other characteristics). It's also quite noisy (25nV/\$ \sqrt{Hz}\$), but at least has a typical flicker noise corner frequency in the 1Hz range. Aside from high input Z, it has basically one really nice advantage, it's really cheap, and widely available, which is why I've actually designed such a 37-year-old op-amp into a new product recently.
A good general purpose (low noise, capable of handling +/-15V supplies, low distorion for AC signals) precision op-amp suitable for mV levels might be the OPA209A.
You can certainly null the offset voltage of your TL081 out using a trimpot as shown on the datasheet, but it won't stay that well nulled for long. A 10°C change will typically change the offset voltage by 100uV, and about one out of every two will be worse (there's no guarantee how much worse, but a guess would be most are better than +/-30uV/°C). An OPA209 is going to be roughly an order of magnitude better.
There are probably going to be better (and many worse) choices for any given application, all things considered. It's amazing what performance you can get for a a few dollars, so it's worth looking around rather than trying to make a silk purse of a sow's ear.
Just to give you an idea of the kind of (in) accuracy you could get, consider that the gain of the TL081 is only guaranteed to be >15,000, so a gain of 1000 amplifier could have a gain error in the 6% range even without the input offset error (which would be very temperature dependent, and has a -3dB corner of something like 20Hz. Cascading two \$\sqrt {1000}\$ gain amplifiers would help with that (null only the first one).
If the range is, say +/-5mV input, frequency is 0.001 to 1Hz and required accuracy 1% of FS + 50uV**, it might be typically *** okay in a lab environment with a light output load, if you null it after warm-up.
** Instrumentation type specification- it means the output could be as much as +/- 100mV from the ideal value with any input, so a 1mV input could give you 900mV or 1100mV.
*** "Typically" means that one chip might be okay, and the next might not meet the requirements. Guaranteed value is probably 10 times worse.
You need to use meg instead of m for the resistor value. You have specified a 0.007\$\Omega\$ resistor, which will tend to reduce the gain to 1.
Your amplifier has a GBW product of 18MHz meaning it will only have an open-loop gain of about 500 at 40kHz, not the 14,000 you appear to be expecting. However it will have extremely high gain at DC so any offset will be amplified - so only a few uV will saturate the amplifier.
You also need to bias the amplifier so the inputs and outputs are somewhere in the operating range- right now it will sit at the negative rail- you want it to be about Vdd/2.
It's better to have a few AC-coupled stages with gain of ~100 or less rather than one stage which needs astronomical gain.
Best Answer
The datasheet gives an example.
By adjusting the pot we can null any offset error. An offset error is when the inputs are exactly equal but the output isn't exactly zero. This error is also characterized by the datasheet:
It can be safely ignored in AC applications, where this offset will be ignored by the AC coupling. It becomes more important in DC applications, especially amplifiers, since this DC error will be amplified by the next stage.
This offset voltage exists because a real omp-amp can't be ideal. There will always be some unintended asymmetries between due to random variation in manufacturing. In all cases, there are op-amp designs that can minimize these errors, but usually at the expense of some other parameter, like cost.