The Millers' valiant fight against an instant return to League One suffered its terminal blow with a 2-1 defeat at West Brom in a game they had to win.
On the face of it there should be little surprise in the Millers not being able to survive in a cash-rich Championship, where their playing budget is at least doubled by each of the other 23 sides.
But that does not tell the whole story as the Millers have made light of their financial disparity and competed in most games.
Indeed, had they been able to hold on to just a fraction of the 32 points they dropped from winning positions, their survival would not even be in question.
Neverthless, Warne is proud of his side's efforts this season.
“When the final whistle went, I was obviously disappointed," Warne said. "A lot of my team were crying, as they were in the dressing room.
"They've given everything for this great club. There is no shame in what's happened, in my opinion, I'm really proud of the group.
"I always say to them that good things happen to good people and there was a real belief that it would happen.
"We've tried to go toe-to-toe with some ridiculous clubs and I think we have made people proud in the town. At least I hope we have.
“It's a disappointing end, but as I said to the lads, 'Has it not been exciting?'.”
The late collapse at the Hawthorns was not the only thing that typified the Millers' season as a refereeing decision also went against them.
Warne insists his side should have been awarded a throw-in in the build-up to West Brom's equaliser, which came from the penalty spot.
"I'm hugely disappointed with their first goal," Warne said. "It should have been our throw-in in the bottom corner, not theirs, for sure.
“I've watched it back so I'm more than happy to put my name to that statement.
"They win a penalty from us and it's a massive swing.
“We had to play 'high risk' after that because we needed a winning goal. We're open to the counter-attack and end up losing the game. I don't think that result was fair. We hit the post, we hit the bar. The lads were excellent."