A user reported following error on FileZilla when they are trying to sftp over port 2222.

Error: FATAL ERROR: Remote side sent disconnect message
Error: type 11 (by application):
Error: "Unsupported protocol sequence"
Error: Could not connect to server

I found following entries on /var/log/proftpd/sftp.log related to the event.

2020-01-03 01:12:15,117 mod_sftp/0.9.9[25130]: using '/etc/proftpd/ssh_host_ecdsa_key' as 256-bit ECDSA hostkey
2020-01-03 01:12:15,118 mod_sftp/0.9.9[25130]: sent server version 'SSH-2.0-mod_sftp/0.9.9'
2020-01-03 01:12:15,118 mod_sftp/0.9.9[25130]: received client version 'SSH-2.0-PuTTYFileZilla_3.46.3'
2020-01-03 01:12:15,118 mod_sftp/0.9.9[25130]: handling connection from SSH2 client 'PuTTYFileZilla_3.46.3'
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session key exchange: ecdh-sha2-nistp256
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session server hostkey: ecdsa-sha2-nistp256
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session client-to-server encryption: aes256-ctr
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session server-to-client encryption: aes256-ctr
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session client-to-server MAC: hmac-sha2-256
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session server-to-client MAC: hmac-sha2-256
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session client-to-server compression: none
2020-01-03 01:12:15,475 mod_sftp/0.9.9[25130]: + Session server-to-client compression: none
2020-01-03 01:12:16,114 mod_sftp/0.9.9[25130]: sending acceptable userauth methods: publickey,keyboard-interactive,password
2020-01-03 01:12:16,703 mod_sftp/0.9.9[25130]: expecting USER_AUTH_INFO_RESP message, received SSH_MSG_IGNORE (2)
2020-01-03 01:12:16,704 mod_sftp_pam/0.3[25130]: PAM authentication error (7) for user 'XXXXXXX': Authentication failure
2020-01-03 01:12:16,704 mod_sftp/0.9.9[25130]: sending userauth failure; remaining userauth methods: publickey,keyboard-interactive,password
2020-01-03 01:12:16,704 mod_sftp/0.9.9[25130]: unhandled SSH_MSG_USER_AUTH_INFO_RESP (61) message, disconnecting
2020-01-03 01:12:16,704 mod_sftp/0.9.9[25130]: disconnecting (Unsupported protocol sequence)

User was using their password to login. Although ProFTPD is configured to accept both SSH keys and passwords, it only attempts SSH key authentication. I solved it by configuring ProFTPD to use only passwords for authentication over SFTP. Here' how to do it,

Open ProFTPD Virtualmin configuration file,

nano /etc/proftpd/conf.d/virtualmin.conf

Find following line within the file,

 Port 2222

Paste following line after it in a new line,

SFTPAuthMethods password

Restart ProFTPD,

service proftpd restart

This solved Virtualmin SFTP on port 2222 error: Unsupported protocol sequence.