Australian team physiotherapist Errol Alcott said Warne fractured the thumb on his bowling hand during nets practice on Tuesday in Mumbai.
"The scans have detected a fracture in his right thumb, and given the amount of cricket on the horizon, we feel that it is in his best interests to get home now and rest," Alcott said in a statement released here.
"We can't predict a return date for Shane, but we will review him in the lead-up to the first Test in Brisbane," he said, referring to the start of the New Zealand series on November 8.
Earlier team spokesman Jonathan Rose said doctors believed Warne could need "between six and eight weeks to recover fully" from the injury.
Warne expressed deep disappointment at missing the final Test in India after Australia took a winning 2-0 lead in the four-match series last week in Nagpur.
"This series has been one of the true highlights of my career, so I'm really disappointed that I won't be able to finish it off on the right note," Warne said.
"It would have been a great thrill to be on hand when we received the Border-Gavaskar Trophy at the end of this Test, but I'm satisfied with the knowledge that I helped contribute to our series win.
"I have every confidence that the boys can achieve our aim of winning the series 3-0. I'm just flat knowing that I won't be there for it."
Warne, 35, is the world's highest wicket-taker in Tests with 541 scalps in 115 matches. He has also taken 291 wickets in One-day Internationals.
Spinner Nathan Hauritz was expected to be named as Warne's replacement for the last India Test.