The 52-year-old died from a suspected heart attack at a Thai resort last week, sparking widespread grief as fans mourned the loss of one of the world's best-ever cricket players.
The chartered Dassault Falcon 7X left Thailand's capital Bangkok at 8.25am local time and arrived at Melbourne's Essendon Fields Airport around 8.35pm on Thursday.
The plane taxied to a private hangar where police officers were stationed outside, Nine newspapers reported.
Thai Police said earlier this week autopsy results showed Warne's death was due to natural causes.
Following his death on the Thai resort island of Koh Samui on Friday, Warne's body was taken by ferry to the mainland city of Surat Thani, and then on to Bangkok.
Warne's family has accepted the government's offer of a state funeral, to be held at the Melbourne Cricket Ground on March 30.
The MCG was the stage of the leg spinner's famous Ashes hat-trick in 1994 and 700th Test wicket on Boxing Day in 2006, his final series before he retired from international cricket.
The stadium is across town from Upper Ferntree Gully, the outer Melbourne suburb where Warne was born.
Warne's family issued a statement on Monday night describing the night of his death as the beginning of "a never-ending nightmare".
"Looking to a future without Shane is inconceivable," his father and mother, Keith and Brigitte said.
"Hopefully the mountain of happy memories we all have will help us cope with our ongoing grief."
Warne's son Jackson wrote: "To my brother, my best friend, to my Dad, I love you so much. I don't think anything is ever going to fill the void you have left in my heart."
Warne's youngest daughter Summer said she wished she could have hugged him "tighter in what I didn't know were my final moments".
Eldest daughter Brooke said she loved him "to infinity and back" and would miss him forever.
"I am lucky and will forever be so proud to call you my Dad forever," she wrote.
Ticket information for the state funeral is yet to be released, but the Victorian premier said there will no crowd cap at the venue, which can hold up to 100,000 spectators.
"It's a fitting venue to say goodbye to someone who created so many indelible memories on that ground," Premier Daniel Andrews told reporters at parliament on Thursday.
"It's Australia's greatest sports stadium. He, without a doubt, is one of Australia's greatest sportspeople, and it's the best place to say goodbye to him.
"We wish we weren't doing it, of course, he's gone too soon."
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