The failed bulb circuit can be very sensitive to varying degrees of resistance, causing the bulb to come on when indeed all the bulbs seem to be working. I would start with a brand new replacement bulb and start switching out the tailights, one by one, checking at the same time if the warning lamp goes out. Just use the same new bulb everytime you swap out a bulb. If the lamp does not go out, return the old bulb and move on to the next. After doing the taillamps, that just leaves the front turn signals and headlamps. After switching out the front turn signals and you still have no luck, try removing the headlamp bulbs and re-seat them. Regardless of which bulb it is, it could be something as simple as a bulb not making a full contact. Hope this helps.