First, check the marker lights on the side of the bumper. Lots of people (myself included) thought they had all bulbs working, but did not look at those. Also, check the license plate lamps.
Triple check all!! Do not forget the trunk light, underhood light, and the license plate lights (as amcnair stated). You'd be surprised what one might overlook. Occasionally I have a "lamp defective" come on. I know it is a loose connection on the leftside/front lamp (not the headlight, the other one). I give it a tap, and the light comes on. Just haven't gotten under the hood to fix yet. Check all the interior lights too, especially the rear.
I just had similiar issue. I checked the main bulbs but did nto realize I could have loose connectors on bulbs for license plate and side markers.
Checked all the bulbs listed, none out. Turned car on & all worked but then warning came on again. Just for kicks I tapped on a few and now the warning went away. Problem is I did not make note of which was loose.
Common issue - mine just went out a week or so ago. Every year or so it happens. What I do is have my wife step on the brake pedal while I rotate the bulb in the holder until I find the sweet spot. Some folks have built up the contact area. Some have replaced the entire holder unit. I choose the cheap/easy method.
I had several go when I first picked up the car. As they were replaced I would have the base coated w/dielectric grease. It is non-conductive, but when you slide the connectors together there is metal-to-metal contact, the grease gets displaced, and the area around the connector is protected from moisture.
I have not had any warnings in a year now. Knock knock knock...