"We certainly [are] looking at all legal options out there," Walker said. "But I have faith, after they do their stunt for a day or two, more about theatrics than anything else, that they'll come back and realize, again, they're elected to do a job."
Police were sent to look for the wayward lawmakers, the Associated Press reported.
Miller denied they had been approached by police.
"We were not arrested, just recalled by the folks sent out to locate us," he told ABC News. "This is not the sort of thing you are arrested for."
Thousands of teachers and other public workers swarmed the capital today to protest the proposed cuts. They flooded the Capitol grounds and covered every inch of the Capitol floor space. Many chanted, "Kill the bill."
Some held signs about union busting. One protester compared the Republican governor to deposed Egyptian leader Hosni Mubarak.
"It's pure and simple union busting," retired teacher Maureen Kind told ABC News.
A huge cheer went up when firefighters marched in with signs saying, "We Support Labor and an American Flag."
"Democrats believe it is wrong to strip people of their right to have a say in the conditions of their employment and to use state law to bust unions," Miller said in an earlier statement released on behalf of the Senate Democrats. "We urge Gov. Walker and the Republicans to listen to the people of Wisconsin, talk to the workers and reach an agreement that helps balance the budget while respecting their rights."
Walker tweeted: "This is all about balancing the budget. Wisconsin needs leadership."
Describing the crowd of protesters that surged around Gov. Walker's office Wednesday, Scott Favour, a Madison, Wis., police officer, said, "There are thousands of people here; 20,000 at least.
"It's all ages, all kinds of public employees, firefighters in full turn-out gear," Favour said. "There's a lot of solidarity here."
Favour, himself a protester, took the day off to express his opposition to the governor's so-called budget repair bill, which would close a state shortfall of about $3.6 billion, in part, by asking public employees to pay a greater share of their pension and health insurance costs.
The bill also would curb collective bargaining rights and make it tougher for public employee unions to operate.
Alexandra Nieves, 35, another police officer, said the bill "is upsetting." The governor's take-back on pensions and health insurance was something she never anticipated when she joined the force three years ago. Still, it's his proposal to curb collective bargaining that disturbed her the most.
"What have we fought for all these years?" she asked angrily. "It's like telling a woman you can't vote, that you should take off your shoes and go back to the kitchen."
The governor, asked by ABC News Wednesday if he was surprised by the size of the turnout, said, "No, not at all. When you do something bold, you'll get a reaction."
The governor telegraphed his intentions even before he assumed office. In a speech in December, he declared, "We can no longer live in a society where the public employees are the haves and taxpayers who foot the bills are the have-nots."