The use of base stations (BSs) and access points (APs) with a large number of antennas, called Massive MIMO (multiple-input multiple-output), is a key technology for increasing the capacity of 5G networks and beyond. While originally conceived for conventional sub-6 GHz frequencies, Massive MIMO (mMIMO) is also ideal for frequency bands in the range 30-300 GHz, known as millimeter wave (mmWave). Despite conceptual similarities, the way in which mMIMO can be exploited in these bands is radically different, due to their specific propagation behaviors and hardware characteristics. This article reviews these differences and their implications, while dispelling common misunderstandings. Building on this foundation, we suggest appropriate signal processing schemes and use cases to efficiently exploit mMIMO in both frequency bands.