The Millers are braced for further interest in their Nigeria international following his excellent campaign last season, but so far they have avoided any serious offers.
Barnsley registered some interest, but they were well off the Millers' valuation, while rumours circulated on social media last week that Ajayi had gone to Leeds for a medical – a story that was false.
Warne, who has always said that he would not hold the former Arsenal trainee back if a sizeable offer came in, is counting down the days to the transfer window closes.
“Loads of clubs like him but we want to keep him,” said Warne. “It’s not as if we’ve put out a circular saying he's available.
“If I lose him, it’s like losing two or three players because he can play in more than one position. That’s the last thing I want to happen.
“I do appreciate that people will be interested in him. So they should be. He’s ‘ledge’.
“He scored eight goals in the Championship. I get it. But at this moment in time I can't see anything happening.”
Warne was amused by the speculation regarding a move to Leeds, which came as Ajayi was soon due to board a plane to Germany for the pre-season training camp.
“I did enjoy reading all the false stuff on Twitter that my son sent me about Semi being at the Leeds United training ground for a medical,” he said. “It just shows the power of social media.
“He’s looking great in pre-season in midfield. He’s not knocking on my door to say he’s desperate to get out. I’m not aware of anything.”
Ajayi was likely to have been involved in the Millers' pre-season friendly against Farsley Celtic on Tuesday, but the game was cancelled an hour before kick-off.
The playing surface at the home of the National League North side was deemed unfit, so play was abandoned.
A club statement read: “Following the Millers' arrival at The Citadel, it became clear that the playing surface would pose a potential risk to players' safety and it is with regret that we have made the decision to cancel the fixture.”
Warne's men are back in action against Bradford Park Avenue on Wednesday.