In New Jersey, the Attorney General's directives for police and retired police qualifications on the use of force specifically prohibit warning shots. The reason included with the directive is that there is no evidence to support a theory that a warning shot will stop anyone. In addition, firing a weapon causes a potential danger to bystanders because of the inability to control rounds once fired.
From a legal perspective, the law prefers that you not fire the weapon at all. Firing the weapon, even as a warning shot, opens the door for a prosecutor or plaintiff to suggest to the court that you were overzealous and eager to use deadly force.
IMO, leave warning shots to TJ Hooker, along with shooting suspects in the leg or arm to stop them, and the fancy shots where you shoot the gun out of the suspect's hand!
I'm not afraid of the guy who wants many guns; I'm afraid of the guy who wants just one.