Ajayi was sold to West Brom last week for a fee that could rise to in excess of £2million, ending two and a half successful years at the club.
He was the Millers biggest saleable asset following the earlier exit of Will Vaulks and the club had been fending off interest for most of the summer.
When the Baggies came calling with the right price it was an opportunity that was too good to turn down for the 25-year-old, especially as he is keen to further his international career with Nigeria.
“I wouldn't say I expected to leave,” he said. “Had we stayed up maybe things would have been a bit different but with my international ambitions, an opportunity like this was pretty hard to turn down.
“But I really enjoyed my time here and I wouldn't say I was looking to leave, but when an opportunity like this comes around it is really hard to turn down.”
Ajayi arrived in South Yorkshire as a raw player with barely any first-team experience, but he left an international player who had won monthly awards in the Championship.
And, although he suffered two relegations at the club, his time is still full of happy memories.
Asked what his stand-out memories were, he replied: “Definitely getting promoted at Wembley, that would definitely be up there, the away win at QPR was a massive highlight. “My first international call-up, winning the Championship player of the month, there are so many things that happened in two and a half years.
“Scunthorpe away in front of the fans, there are a lot of memories that I will hold with me for life.”
Ajayi had done most of his pre-season work with the Millers and saw them from the opposition angle in midweek when he played for West Brom against his former club in a pre-season friendly.
And he is predicting success for Warne's men in League One this season.
“We have got a really good squad, great set of staff, a great set of lads.
“After the pre-season we have had they are very fit so I see them doing really well.”