Ken Bates - Warnock's current chairman at Leeds - offered Warnock the job in 1991, but after guiding Notts County to the top flight following successive promotions, he decided to stay put. Warnock was sacked two years later.
Leeds face-off against Chelsea on Wednesday night in the quarter-final of the Capital One Cup at Elland Road.
"I don't have any regrets really because your life shapes around decisions really and I was a northern lad and I thought going beyond Watford was the end of the world in those days," he said.
"I went down twice, once to the ground and once to Ken's farm in Beaconsfield and I was stuck on the motorway for five hours on both occasions and it didn't seem to be me really, so there are a lot of issues.
"I wanted to stay loyal to a group of players who had been fantastic for me.
"If it was a different way round, why do managers say loyal, you get the sack anyway, why not go and take the opportunity? Good luck to you. I've nothing about this loyalty thing now. My advice to young managers is if you get the chance, go.
"You get kicked in the teeth if you stay so you can't win either way."