The most common and most likely answer to this crossword clue is the 6 letter word KLAXON
I've seen this crossword clue in The Daily Telegraph
K
L
A
X
O
N
Buddy explains!

The straight part
We know that "warning device" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case warning device = klaxon.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does KLAXON mean?
KLAXON noun- A loud electric alarm or horn.
- To produce a loud, siren-like wail.