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 tomorrow night in the quarter-final of the League 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 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.
"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."
Chelsea manager Rafael Benitez is someone who the Leeds boss has said in the past he would "never forgive" for picking what Warnock deemed a weakened team in Liverpool's final away game of the 2007 season against Fulham. Managing Sheffield United at the time, the Blades needed Benitez's Reds to get a result against Fulham, who were in the relegation zone.
Fulham won the game 1-0, a result which saw them survive at the expense of United. Warnock's criticism of Benitez led to the Spaniard's legal team sending an email warning of possible legal action were he to be mentioned again. "Enough water's passed under the bridge," Warnock said." I don't want to give you any more ammunition than you've already got."