Could be a hidden character (space, paragraph return), used in a placed graphic, or possibly part of a style definiton. Can Find Font locate it?
If you can't seem to see the character when using Type > Find Font, try choosing Edit > Edit in Story Editor to make it visible.
Having made umpteen million of these altformat statements, I am willing to bet you the beverage of your choice in the city of your choice that: someone selected the Chinese text with the Text tool and then used Create Outlines. This leaves behind a paragraph mark/pilcrow set in the Chinese font. You can't have text without a paragraph marker, and if you outline text when you have selected it with the Text tool, you're creating an inline anchored object, which has to be in a paragraph.
If they'd selected the whole text frame and used Create Outlines, then there would be no missing font warning.