Instead, they had to settle for a point which keeps them out of the relegation zone ahead of tomorrow’s trip to leaders Middlesbrough.
Warne was disappointed his side did not build on their opener, as they were pegged back with six minutes left to play.
Wanderers looked on course for a third defeat in a row after the Millers had gone in front through a thunderous second-half free-kick from Will Vaulks.
Christopher Doidge struck on the break, however, finishing off a pass from Clayton Donaldson to bring the scores level.
“It does feel like two points dropped if you concede that late on in the game,” said Warne.
“Conceding like that when you’re in the ascendency for most of it is disappointing. You don’t always get what you deserve in life. I’ve told the lads how proud I am of them. Their performances were unbelievable, they did exactly what I asked.
“It’s disappointing but it’s not going to take away from the overall feeling of pride, to be honest.
“We could always be more clinical. I don’t think there’s any team in the world that couldn’t be more clinical. We had two brilliant set-pieces in the first half where, realistically, we should be hitting the target and there should be goals.
“That isn’t a criticism, the lads are getting into positions to score.”
The second half exploded into life as Richard Wood was penalised for upending Josh Magennis in the area, but the striker saw his spot-kick saved by Marek Rodak.
Vaulks then fired the Millers into the lead before Michael Smith hit the angle with a delightful effort, but Bolton levelled after launching a late counter-attack.
“I’d love to stand here having won 1-0 but I’ll have to pick the lads up and we’ll go again on Tuesday,” added Warne.
Rotherham United: Rodak, Jones (Vyner 28), Ajayi, Wood, Mattock, Taylor (Manning 78), Vaulks, Towell, Williams, Vassell (Newell 65), Smith. Unused substitutes: Palmer, Proctor, Price, Wiles.
Bolton Wanderers: Alnwick, Hobbs, Wheater, Wilson, Olkowski, Lowe, O’Neil (Vela 34), Joe Williams (Doidge 67), Dyer (Wildschut 67), Donaldson, Magennis. Unused substitutes: Taylor, Beevers, Noone, Matthews.
Referee: T Robinson (West Sussex).