It sounds like there may be a hidden link or reference to the problem file somewhere in your spreadsheet. Here are a few steps you can take to try and locate and fix the issue:

1. Check for hidden links: Sometimes links can be hidden in cells that are not visible on the screen. To check for hidden links, select all cells in your spreadsheet by pressing Ctrl+A, then right-click and choose "Format Cells". In the Format Cells dialog, go to the "Protection" tab and make sure the "Hidden" checkbox is unchecked. Click OK and any hidden cells should now be visible. Check if there are any links in these cells.
   
2. Check for named ranges: Named ranges can also contain links to external files. To check for named ranges, go to the "Formulas" tab and click "Name Manager". Look for any named ranges that may be referencing the problem file.
   
3. Check for data connections: Data connections can also contain links to external files. Go to the "Data" tab and click "Connections". Look for any connections that may be referencing the problem file.
   
4. Check for VBA code: If you have any VBA code in your spreadsheet, it may be referencing the problem file. Press Alt+F11 to open the VBA editor and search for any code that may be referencing the problem file.
   
5. Try using a third-party add-in: There are third-party add-ins available that can help you locate and fix broken links in your spreadsheet. One such add-in is called "FindLink". You can download it from the Microsoft AppSource and use it to search for any hidden links or references to the problem file.

Once you have located the hidden link or reference, you can either remove it or update it to the correct file path. After making any changes, save the file and try opening it again to see if the warning message still appears. If it does, try using the "Update Links" option in the Edit Links dialog to update the links manually.