The Millers were on the cusp of safety on a see-saw day of events at the Cardiff City Stadium and Pride Park, thanks to Lewis Wing's outstanding early goal at Cardiff.
Despite missing a number of chances to extend their lead, the visitors were poised to secure a heroic escape from relegation, only for Bluebirds midfielder Marlon Pack to break their hearts with an 88th-minute equaliser.
It ensured that Rotherham were relegated for the third time in five seasons and in the final analysis, their inability to convert chances proved telling.
Warne said: "I am really hollow. I just feel for the lads, my captain, the owner and the fans and I feel for everyone.
"That performance, in my opinion - which is not always popular - is that we did more enough to win the game. To concede so late on was an absolute solar-plexus blow.
"But we had more than enough chances to win two games today and maybe that is a microcosm of our season. We are well-organised, fit, determined and together - all those things - but we just lack a little bit of cutting edge in the final third.
"We had plenty of chances that we should have taken if we wanted to stay up. But without that second goal, there was always a chance that the opposition would score. We were not cut open with any great play and I am not sure my keeper even made a save..
"I am devastated and devastated for the lads because it should have been a memory. I said to them this morning that they could remember this when they are ninety when they cannot remember much. That could be a game and memory with the bus trip home that would literally burn into your memory forever. I feel for them, I really do."
A bruised Warne will now take stock for a few days before thoughts turn to the future, with the Millers chief realistic enough to appreciate that a number of players will leave in the summer, with the likes of Matt Crooks, Michael Smith and Ben Wiles likely to attract interest from elsewhere.
"I have come out of the dressing room really quickly and thanked them all for their efforts this season and it has been an honour to work witrh them," Warne commented.
"But I know that dressing room is not going to be the same next year, which is heartbreaking."