Grigg, who endured a difficult spell at the Stadium of Light since joining in January 2019, has enjoyed his start to life in south Yorkshire with four goals in nine appearances for the Millers.
The Northern Ireland international scored just five times in just under 50 appearances for the Black Cats and spent the first half of 2021 on loan at his former club MK Dons.
Warne is not concerned about Sunderland’s recall option for Grigg, with the Millers just two points behind the north east club in the League One table.
However, the Rotherham boss admits that there will be little the club can do if Sunderland activate Grigg’s recall option in January.
“Potentially they could take him back,” Warne told the Rotherham Advertiser. “We can’t stop that happening.
“That is always the disadvantage of loans, you can sometimes get a player at a good rate but you don’t have full control.”
Warne continued: “It is not playing on my mind massively in October. If he scores 15 goals between now and January and Sunderland suddenly stop scoring, it could be a problem.
“While Sunderland are doing well and he is not in their plans I don’t see it being an issue.”
Grigg is in the final year of his contract on Wearside and admitted when signing for the Millers that the prospect of earning a long-term deal at Rotherham was in his thoughts.
The forward has 13 Northern Ireland caps and hopes his form for Rotherham can help him force his way back into the international set-up, alongside Millers teammate Shane Ferguson.
“I’m happy with my form. I came here to score goals and contribute to the team and so far I feel like I have done that, so I’m pleased,” said Grigg.
“The management team told me that the team would create chances for me to score and they have done that. I’m delighted with how it is going.
“It’s always a huge honour to represent my country and obviously it is something I would still like to do if given the opportunity.
"Since the new manager came in I’ve been out of the picture and all I can do is continue to score goals and try and impress.”