Warp exist outside the Milkyway

• Dead Sky, Black Sun:

"Awful knowledge flooded Uriel as he stared into the portal opened in the fabric of the universe. He saw galaxies of billions upon billions of souls harvested and fed to the Lord of Skulls, the Blood God.

'Emperor’s mercy,' wept Uriel as he felt each of these deaths lodge like a splinter in his heart. New life and new purpose had once filled these galaxies, but now all was death, slaughtered to sate the hunger of the Blood God… whose fell name was a dark presence staining the coppery wind that blew from the portal, a stench of deepest, darkest red, whose purpose was embodied in but a single rune and a legend of simple devotion: Blood for the Blood God… Khorne… Khorne… Khorne…"

• 8th Ed Codex [Deamons]:

"Had the Chaos Gods work in unison in the wake of that terrible event, it is doubtless that realspace would have been utterly consumed by the sprawling madness of the warp. Yet true to their own agendas: to kill, to change, to pollute, to bathe in excess. So divided, they are unable to overcome the fierce resistance of the galaxy’s inhabitants."