Sheffield United was a Championship club when Warnock was told about Drogba, who was playing for French second division side, Le Mans at the time.
Warnock was urged by Laurent D’Jaffo, who played for Sheffield United between 2000 and 2002, to sign Drogba but the former Crystal Palace coach refused.
Drogba eventually joined Guingamp and Marseille before moving to Premier League giants, Chelsea, in a £24million transfer in 2004.
When asked if a missed transfer target had ever come back to haunt him, Warnock told talkSPORT: “I think every manager has one.
“Usually it’s a striker, with a manager. The main one early in my career, I had a French lad play for me, Laurent D’Jaffo, he said to me ‘Gaffer I’ve seen a player for you in the second division in France, very good, £100,000’.
“I said ‘£100,000? That is a lot for a second division French player. What’s his name?’. He said ‘Drogba’.
“I said we can’t pay £100,000 for a second division French player.
“You all know what happened to him in the end, Drogba. That was my biggest [missed opportunity] I don’t think I could have had a bigger loss than that one.”