The Millers travelled toLancashire hoping to kickstart their season and end their Championship away-day hoodoo, but neither happened as a disappointing display ended in a 2-1 loss.
That made it just one win in 17 league games and a string of draws in matches they dominated look to be proving costly as Bolton, who had not won since the end of September, closed the gap toÂ a point.
Because of that, and the terrible plight Phil Parkinson's men have had to endure on and off the pitch in the last few months, this seemed like an important match, so to lose it is a bitter blow.
Warne, though, insists it is on to the next one and next up is a journey to Bristol City on Saturday, where the Millers will set about trying to earn a first away win at this level in 37 games.
"It's one game,' he said. 'We go on to the next one pretty quickly. It's our job to pick the players up.'
The defeat might at least end a section of the fans' endless demand for Warne to play a 4-4-2.Â Warne has come under criticism from some for his reluctance to play with two strikers, but the changed system did not work in Bolton.
'We went 4-4-2 and went there positive," Warne added.
"We're conceding goals and we have to address that. Obviously we're disappointed we haven't sent our fans home happy. In crucial moments in both boxes we weren't good enough."
The trip to Ashton Gate will be a tough encounter, made even harder by injuries.
Defender Joe Mattock is a doubt after aggravating a heel injury that made him a doubt for the Bolton game, while striker Jamie Proctor came off Â and is described by Warne as being 'in trouble'.
Midfielder Richie Towell is also a concern after picking up an unspecifiedÂ knock, but he had to stay on as Warne had made all of his substitutions.
Defender Zak Vyner will be ineligible to play against his parent club.