The 69-year-old hails from the South Yorkshire city and is a boyhood Sheffield United fan, in addition to having led the Blades into the Premier League a decade ago.
As a result, Warnock generally gets a "rousing welcome" but despite the apparent vitriol, the veteran coach insists that the rivalry is largely good-natured and friendly.
"Sheffield Wednesday is always my biggest game of the season, wherever I am. It's always really special and I'm looking forward to it," Warnock told Sky Sports News ahead of Saturday's Championship meeting between the Bluebirds and the Owls at Hillsborough.
"I always get what some would call a rousing welcome! When I get off the bus it's quite special and I do enjoy it, I like them to wait and get that venom bubbling up inside them, then I get off.
"They're good people there. Yes, they give me stick like nothing on earth but it's all friendly and I do like walking in there and seeing some of the young lads and their dads wearing blue and white scarves.
"I always have a chat with one or two and that's how football should be. It's gone so far the other way that people get off the bus with their headphones and go straight into the dressing room, never talking to the supporters or having a laugh. There's nothing wrong with a bit of humour and that's why I'm still in the game because I enjoy those times."
Cardiff currently sit third in the Championship table, while Wednesday are 17th in the standings.