Windass moved to Rangers a year ago but is already being tipped to exit Ibrox.
Windass has struggled to make a positive impression at Rangers, having moved to Ibrox from Accrington Stanley a year ago.
Rangers' Josh Windass in action
And the 23-year-old has been heavily linked with a return to English football, with Hull City - Windass' hometown team and that at which his father, Dean, made his name - among those previously linked (HITC Sport).
The Daily Record speculated last week that Warne's Rotherham had also entered the running, but speaking to BBC Radio Sheffield over the weekend, the 44-year-old said: "Where do I get linked with players all the time? It’s unbelievable.
No, there’s no connection there at all (with Rangers' Windass). I understand he’s a really good player but so is (Barcelona's Lionel) Messi and I’m not signing him.
"So there’s no connection there at all - unless someone’s signed him behind my back and hasn’t told me."
Rotherham United manager Paul Warne
In the same interview, Warne admitted his delight at how his new-look midfield of Darren Potter, Lee Frecklington and Will Vaulks - a reported Rangers target earlier this year - had performed during Rotherham's pre-season friendly defeat against Sheffield United.
Rangers have already sold Windass' close friend Matt Crooks to Northampton Town this month, and continue to be linked with other midfielders such as Aberdeen's Kenny McLean.
Should Rangers seek to move on Windass this summer?