The 30-year-old has been constantly linked with a transfer to his home-town club in recent years and the speculation reared its head again following the appointment of former Blades manager Warnock in February.
Instead, Montgomery joined Millwall until the end of the season and he will today come face-to-face with his old manager at The Den as Leeds look to bounce back from the midweek 7-3 humbling by Nottingham Forest.
Warnock said: “Millwall have taken Monty from Sheffield United on loan. I thought about bringing him in. But I thought Adam Clayton and Michael Brown had done really well up until the other night (against Forest).
“And even the other night, I thought Browny was our best player. I didn’t want to disturb things.”
Forest inflicting Leeds’s heaviest home defeat in their history means Warnock is demanding a reaction from his players in the intimidating atmosphere of The Den.
The United manager added: “We haven’t played the (Forest) game (on DVD) but the goals were important. We went back to being individuals rather than being a team, and against Doncaster we were quite like that.
“If we don’t play as a team then we won’t be a team, it is as simple as that. Whilst it was embarrassing to concede the goals, I’d rather do it now and learn about the lads.
“Especially this weekend when we play at Millwall. I will learn even more about my players down there.
“The other place (the Old Den) was full of atmosphere. It was special. Bloody hell, I remember stood near-post when I was at Chesterfield. The ball came in, I was going to head it out and I woke up in hospital.
“It was a guy called Alf Wood. He was one of their famous players, he just did me in the back. I can’t remember anything else about it.
“I don’t kid myself how difficult it is going to be. They have got (Darius) Henderson and (Andy) Keogh up front. We all know what Keogh is like and Henderson is as physical as anyone in the league.
“And at the back, Millwall are a solid unit. They don’t mess about.”