The Millers found themselves 3-1 down on 40 minutes, after Joe Newell’s opener was wiped out with goals from Jack Payne, Josh Ruffels and Curtis Nelson.
It could have been worse for the visitors, but goalkeeper Marek Rodak saved Ryan Ledson’s penalty after Will Vaulks handled Ricardinho’s cross.
Warne was ready to read the rio act to his side at half-time, but it was tempered a little when Ryan Williams cut the deficit a minute before the interval.
“I felt during it (the bad spell) that we just needed to get to half-time,” Warne said. “It was a little like damage limitation. When we got to half-time we told them what we thought quite obviously.
“My disappointment was that when we conceded the third goal the lads didn’t look like they would get back in it. Their heads dropped a little which was disappointing.
“So I addressed that at half-time you have to believe that you are still in it. To get that goal just before half-time gave us a boost and then I thought we would get another before the break.”
It was an improved display in the second half from Rotherham, who saw Kieffer Moore denied by the crossbar.
But the on-loan striker did rescue a point – Rotherham had previously won eight and lost six in League One – when he converted Williams’s cross on 78 minutes.
“It was a joyful and stressful day on the touchline,” said Warne.
Oxford Utd: Eastwood, Carroll, Nelson, Mousinho, Ricardinho, Henry, Ruffels, Ledson, Mowatt (Rothwell 64), Payne, Thomas (Obika 79). Unused substitutes: Tiendalli, Williamson, Martin, Shearer, Fernandez.
Rotherham: Rodak, Emmanuel, Ajayi, Ihiekwe, Mattock, Williams, Newell, Towell (Taylor 68), Vaulks, Forde, Moore. Unused substitutes: O’Donnell, Wood, Ball, Clarke-Harris, Yates, Cummings.
Referee: S Stockbridge (Tyne & Wear).