Newcastle striker Gayle needed only six minutes to grab his first as he struck a free-kick under the wall, with Harvey Barnes making it two after 20 minutes when he fired home a rebound after Jay Rodriguez hit a post.
It was three on the brink of half-time when Gayle stabbed in and then his hat-trick was completed shortly after the restart when he capitalised on a poor error from Rotherham goalkeeper Marek Rodak.
The win ended the Millers’ nine-game unbeaten run.
Warne was left scratching his head at the severity of the defeat. Ryan Manning hit a post with the score at 1-0 and then later missed a penalty, again hitting an upright. Warne said: “They are a very good side. They way we set up I thought is the best way to set up.
“The players’ performances are as good as we could have asked for.
“The crucial moments in the game they took their chances and we didn’t take ours.
“I don’t think we could have played any better. We missed a penalty, which summed up the day really.
“We were just on the side of unlucky, I don’t think we deserved to lose 4-0, but West Brom were the better team.
“We have lost 4-0 ,but I am not disappointed because the lads played as well as they possibly could.
Rotherham United: Rodak, Vyner, Ajayi, Robertson, Mattock (Williams 65), Vaulks, Forde, Towell, Manning, Newell (Taylor 72), Smith (Proctor 80). Unused substitutes: Wood, Palmer, Price, Wiles.
West Bromwich Albion: Johnstone, Adarabioyo, Dawson, Hegazi,Gibbs, Phillips (Morrison 78), Barry (Brunt 58), Livermore, Gayle (Robson-Kanu 82),Rodriguez,Barnes. Unused substitutes: Mears, Myhill, Harper.
Referee: Tony Harrington (Cleveland).