It is becoming a regular occurrence for Warne to praise his side for a spirited away performance but end up discussing a defeat.
It was more of the same in the wake of his side's 29th Championship away game without win as they went down to a 2-0 defeat at Aston Villa.
As ever, the Millers were in the game, had a spell where they needed to capitalise but didn't and ended up losing.
Tammy Abraham and Yannick Bolasie goals did the damage for a distinctly average Villa either side of a decent spell for Warne's men, and it was a similar tale for the Millers boss.
“They can’t give me much more," Warne said of his men. “They performed really well and went toe-to-toe for the majority of the game.
“We got done with a bit of quality for the first goal. I thought we were significantly better in the second half and we had a lot more confidence on the ball, which is what we wanted.
“We created a few half-chances and I thought we would be the next team to score, so it was important to score but we didn't then they got the second and then the game just fizzled out.
“If we would have nicked a point, I don’t think many people in the stadium could have moaned about it.
“I’m really proud of what they have given me and that’s all I can ask.”
The Millers spell came in the second half when Jon Taylor and Richard Wood both had chances to level, but both failed to hit the target.
Bolasie then killed the game in the final 10 minutes to inflict a 26th loss from those 29 second-tier away games since that heady day at MK Dons in April 2016.
But Warne insists his side are closer to registering that elusive away success.
“The lads gave me everything they have got. We are trying to get better every week and I feel we are making improvements," he added.
“The lads have to taken some confidence from this game.
"They have earned the right to play at these great stadiums and I didn't think they let themselves down against Villa.
“We are doing everything we can to win away. Hopefully it will come sooner than later.”