The Rangers boss made five changes to the side which opened the Championship season so impressively with a thumping 4-0 win over Barnsley on Saturday.
But his fringe players did themselves few favours as two goals from Justin Richards and one from Sean Rigg ensured a big shock in soggy west London.
Rangers had already been given a warning when John McCombe crashed a header from Gary Roberts' corner onto the crossbar.
And they fell behind after half an hour when Rigg's chip split the home defence and summer signing Richards raced clear to tuck away his first goal for Vale.
Things got worse five minutes later when Doug Loft played in Rigg, who opened his Vale account by cutting inside and driving left-footed past Paddy Kenny.
Whatever Warnock said at half-time did not have the desired effect as his side went three behind two minutes after the restart when Kenny spilled Loft's long-range shot and Richards was on hand to double his tally with a tap-in.
Rangers defender Matt Connolly thought he had pulled one back when he headed in Gary Borrowdale's corner but referee Gary Sutton blew for a push.
The hosts did find the net with half an hour remaining when substitute Antonio German's angled drive went in off both posts.
Warnock's side sensed a potential comeback and poured forward, but Jamie Mackie and Romone Rose blazed wide as Vale held out for a famous win.
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