Warnock's side spurned several chances in front of goal as they played out a stalemate at Ewood Park.
"You don't tend to come away to Blackburn, end up 0-0 and be as disappointed as we are," Warnock told reporters.
"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."
Leeds are currently ninth in the Championship, six points off the playoff places.