United enjoyed the better of the chances but could not make it back-to-back wins following their 2-0 triumph over Blackpool on Wednesday night.
Warnock felt the tangible sense of disappointment in the visiting dressing room afterwards was indicative of a fine performance.
"You don't tend to come away to Blackburn, end up 0-0 and be as disappointed as we are," he said.
"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.
"When I've looked at the chances - Lee (Peltier) should have scored when he mishit it into the goalie, Ross McCormack should have scored, Luke Varney should have scored.
"It's a start because we asked them to give a performance like they did on Wednesday night against Blackpool - they were super against Blackpool.
"Away from home, in a couple of games we've been diabolical but this side's only played together two games on the trot and if I'd had this side from the start of the season we'd be a lot higher."