The Millers’ 14-game unbeaten run was ended as Stephen Humphrys struck the game’s only goal.
Rotherham’s Marek Rodak made the first save of the game as he rushed out to deny Andrew Cannon.
The visitors threatened again through Humphrys but his shot was diverted wide of goal.
Rotherham thought they would have a half-time lead but Richard Wood’s header was disallowed for a foul on Josh Lillis.
Rochdale’s Brad Inman was denied early in the second half by another good stop from Rodak after bursting clear of the defence.
The away side deservedly went ahead after 67 minutes when Humphrys lashed a shot into the bottom corner following a rapid build-up.
Joe Mattock denied Ian Henderson a good chance for a second with a well-timed tackle in the box.
Semi Ajayi’s late effort for Rotherham was cleared off the line and Rochdale hung on for back-to-back league victories.
“The lads have been on an amazing run,” said Warne. “The lads are disappointed to lose the run today but I think we came up against an excellent team.
“I think their position in the league doesn’t say how good they are really.
“Me and Rich (Richie Barker) went and watched them midweek and we knew what a formidable team they were.
“It was just disappointing. I don’t think everyone was on song today,
“I think that would be a fair point. Going in 1-0 up at half time, we might have had a bit of spring in us. But we just didn’t get our passing game going today.
“We didn’t get wide enough quick enough. We came against a really good team and we have to dust ourselves down for the next one.”