Blades chief Alan Knill approached Warne with the offer of a game at the New York Stadium.
"No one would be working at the stadium," Warne wrote in a column for The Athletic.
"Just two skeleton staff and players, no unnecessary contact. I thought it would be brilliant because it's difficult to motivate the lads and keep them entertained without an end goal. This time last week, it made sense. But we checked with the EFL and while they couldn't say no, we took the advice and called that off."