The news broke on Friday afternoon that Warne had died of a suspected heart attack while on holiday on the Thai island of Koh Samui.
The former leg-spinner was one of the true greats of cricket, taking more than 1,000 wickets in internationals, including 708 Test wickets - 195 of those against England.
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Lamb never got to play for England against Warne, as he retired from international cricket in 1992 - the year the then Australian youngster made his debut.
But the pair became friends and regularly played charity golf matches together, and Lamb admits the world has lost a 'great human being' as well as a sporting icon.
"Warney was the best, there is no other spinner in the world as good as he was, he was exceptional," said Lamb.
"He was a true legend, he had a charisma of note, and he played the game the way he wanted to. Nobody could do what he could do.
"Warney loved the game, he knew a lot about the game and if you listened to him on commentary he was great at that and knew exactly what was going to happen.
"That shows you what a great cricketer he was.
"He is the greatest leg-spinner there will ever be, I don't think we will find somebody like him again.
"He also rocked the boat, and people loved that because he wasn't a committee man."
"Shane lived life to the full, he was an entertainer, he loved his golf, he loved his card playing."
Although he never played top class cricket against Warne, Lamb did don the pads to face him on one occasion - and decided defence was the best form of attack.
"We played in a fund-raising game once and they said I had to go out to bat and Shane had to bowl to me," recalled the 67-year-old.
"Anyway, I treated him with not a lot of respect let's put it that way!
"I got on top of him, and I said to him 'I would never allow you to just bowl at me, I would be attacking you all the time'. But he was a great human being, a seriously nice guy."
Lamb also revealed that Warne's competitive edge wasn't just restricted to the cricket field.
"Warney was very competitive, whatever he played," he said.
"He had to win whatever he was doing, and with the golf, even if we were playing in a group, he would say 'right, you and I are having a challenge'.
"He just wanted to succeed in everything he did, which is the right attitude I think."
Warne's death has hit Lamb particularly hard, as he has also lost two other close friends in recent days.
Another great Australian cricketer, Rodney Marsh, passed away on Thursday and only last week the South African rugby legend Henry Oswald de Villiers also died.
"I am in shock because I have lost three great friends in the past two weeks," said Lamb, who is also battling against the prostate cancer diagnosis he received in November.
"Last week I lost a great friend who I played rugby with in HO de Villiers, one of the world-class rugby players from the 1970s.
"Dennis Lillee called me about Rodney Marsh, and then I was sitting having lunch today, the phone went and it was a call to tell me Warney had gone,"
"I just can't believe it. It is frightening."
Warne was due to be head coach London Spirit in The Hundred this summer, where he would have once again worked with Northamptonshire captain Adam Rossington.
Rossington was only last month retained by Warne for Spirit after impressing in last season's competition, during which former Northants coach David Ripley was also the Australian's assistant coach.
Northamptonshire sent out a simple tribute on Twitter that read: "A legend of our game. Rest in peace, Shane Warne."
Former County spin bowler Monty Panesar also took to Twitter to pay his own tribute.
"Absolutely shocked to hear the news about Shane Warne," said Panesar. "Words cannot express how the cricketing community will miss him.
"He brought cricket back into fashion, a huge personality on and off the field. He was Mr. Hollywood, devastating news. RIP."
Another former Northants player, West Indian fast bowler Curtly Ambrose, said on social medial. "Very sad to learn of the passing of the great Australian cricketer Shane Warne, the greatest leg spinner I have ever seen.
"Condolences to his family and of course all Australian cricket fans."