Warne went onto reveal that the player had no appetite to leave the club.
The Millers chief said: "I had a bid on one of my players yesterday (Wednesday) which I turned down. The player was fine, he did not want to go anyway.
"It was from a team from abroad, the offer was below what we expect, but he isn't a player we would want to sell.
"I have spoken to the player and he has no appetite for it either.
Even if they were to come back and offer crazy money and I was to fall out with the player, which I won't, but if I did, I still don't think the player wants to go anyway, so it's a dead duck."
Meanwhile, Warne - who added defender Tolaji Bola to his ranks earlier this week - has confirmed that the club are prioritising their transfer activities on bringing in another forward to add to their options.
Warne said: "We need something else up top or an attacking 'ten.' We are probably another 'body' short. In an ideal world, I'd have another three or four, but that's me being greedy.
"Someone else up top is pretty essential. I think it is more likely it is going to be a loan as something permanent might be out of our reach as someone who can compete or is better than what we have got will cost us a lot of money. A loan is more realistic."