The Millers succumbed to a 4-0 loss to promotion-chasing West Brom, where Dwight Gayle scored a hat-trick and Harvey Barnes also bagged.
It proved as a stark reminder just how tough the Millers, who missed a late penalty, have it this season as they came up against a team whose wage budget eclipses theirs even more than normal in the Championship.
The difference between the two sides was obvious, 10 of Rotherham's starting XI were playing in League One last season, most of the Baggies' were in the Premier League.
Yet, as big as the gulf in class between the two sides was, the scoreline was still something of a head-scratcher.
Some pretty ropey defending gifted the Baggies three goals while the Millers long for the clinical instinct of someone like Gayle as they squandered good chances at important times.
Warne said: 'The crucial moments in the game they took their chances and we didn't take ours. I don't think we could have played any better, we missed a penalty which summed up the day really.
Â 'We were just on the side of unlucky, I don't think we deserved to lose 4-0 today but West Brom were the better team.'
They were trailing to Gayle's sixth-minute free-kick, which snuck under the wall, when a key moment came as Ryan Manning cut in and thundered a vicious shot into the woodwork, with Semi Ajayi seeing his rebound cleared off the line.
Barnes did what Ajayi could not soon after when he converted when Jay Rodriguez's shot had hit the post and then Gayle killed the game in the 44thÂ minute when he stabbed home from a free-kick.
The less said about his third the better, as goalkeeper Marek Rodak needlessly spilt the ball, allowing Gayle a tap in.
The Millers continued to threaten and Michael Smith saw a header brilliantly saved, Clark Robertson had another effort cleared off the line and then Manning missed a 76th-minute penalty.
Warne added: 'We have lost 4-0 but I am not disappointed because the lads played as well as they possibly could.
'Another day we might have got the equalising goal when we hit the post. It wasn't like 4-0 and we took an absolute trouncing, we were always in the game.
'I don't feel ashamed at losing at home to West Brom.'
A home game to West Brom is one the Millers can probably afford to write off. The Boxing Day trip to Bolton, not so much.
Rotherham: Rodak, Vyner, Ajayi, Robertson, Mattock (Williams 65), Forde, Vaulks, Towell, Manning, Newell (Taylor, 72), Smith (Proctor 80).
Unused subs: Price, Wood, Palmer, Taylor, Wiles
West Brom: Johnstone, Adarabioyo, Dawson, Hegazi, Gibbs, Livermore, Barry (Brunt, 58), Phillips (Morrison 78), Barnes, Gayle (Robson-Kanu 82) Rodriguez
Unused subs: Myhill, Mears, Harper, Sako
Referee: Tony Harrington
Attendance: 10,593 (2,597)