The Championship side were in talks with the Blues on deadline on Friday but a deal could not be reached in time.
"Many things really. I'm disappointed we didn't get him. That's life!" Warnock said.
"Numerous things happened in the afternoon, it wasn't to be. Yes, I'm disappointed but we move on.
"I thought we had him most of the day but problems cropped up and we couldn't get it over the line, it was too late.
"He was disappointed but he was partly to blame.
"There was things I should have known before 4 o'clock about his problems at Everton and they were problems we couldn't overcome.
"We tried to and eventually we did but it was too late.
"I've asked him why I didn't know about this beforehand and he said he told his agent. I said why didn't the agent tell us, he was talking to Neil (Bausor) quite a lot."
When pushed on what the problems were, Warnock said: "Not for you to know."