The Millers exited the Carabao Cup at the first round after losing 4-2 on penalties to League Two Salford following a 1-1 draw after 90 minutes.
The defeat and going out of the cup, although disappointing, will not be the issue for Warne, though.
More the raft of chances his side missed throughout the match, compounding an issue that has been present in pre-season.
It will be a concern for Warne heading into a Championship encounter where failing to take their opportunities has dogged them on both of their last two seasons in that division.
Salford goalkeeper Vaclav Hladky is unlikely to have a better game for his side as he made a string of saves to keep the Millers at bay.
The St Mirren loanee saved from Chiedozie Ogbene twice, Jamie Lindsay, Michael Ihiekwe, Wes Harding and Joe Mattock as Warne's side dominated.
But it was calamity in the other net that allowed Salford to take an 82nd-minute lead as debutant Millers keeper Jamal Blackman was indecisive in coming off his line and felled Tom Elliot.
The result was a penalty and Ian Henderson, who always scores against Rotherham, did so again, though the Chelsea loanee will be disappointed he allowed a tame effort from the spot to squirm under him.
Warne's men did finally find a way through deep into injury time as Matt Crooks forced a ball home after an ugly scramble.
It was destined to be Hladky's day, though, as after Kyle Vassell hit the post, he saved from Mattock to send the Millers out.
“I don’t think my keeper had a save to make but we still go out so I’m disappointed in that,” said Warne.
“We had good pockets of play. We weren’t at our best and I don’t think there’s any excuse for that.
“But I think we did enough to win a football game and their keeper made some unbelievable saves, came for crosses and kept us at bay.
“It’s all about scoring goals, they got one, we got one at the death and on the merit of play we probably deserved to win but football isn’t always like that.
“Overall I’m disappointed we didn’t take our chances but it’s our job to pick the players up and try and help them.”
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