Warnock feels that his side wasted the numerous chances that could have handed Leeds all the points, but as it was both sides had to settle for a point in this 0-0 draw.
Ross McCormack, Luke Varney and Lee Peltier all had chances to give the visitors the lead, leaving both the Leeds side and manager feeling disappointed.
Warnock told reporters after the game: "You don't tend to come away to Blackburn, end up 0-0 and be as disappointed as we are.
"I don't know how we've not won the game really. I never thought they were going to score, even at the death when they had a couple of corners.
"I thought we were super at the back, did well in midfield - you've just got to take your chances."