The most common and most likely answer to this crossword clue is the 5 plus 2 letter word HEADS UP
I've seen this crossword clue in Financial Times
H
E
A
D
S
U
P
Buddy explains!
The straight part
We know that "warning" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case warning = heads up.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 HEADS UP mean?
HEADS UP noun- A warning or call to pay attention; an advisory notice; a notice of what is to happen; a holler.
- Involving two players. (usually said when there are only two players in the table; or, when all players except two folded)
- With head directly above the neck, eyes front.
- Alert; vigilant