Definition
A warning that carries no real consequences; an empty threat.
Origins
Calque of Russian последнее китайское предупреждение (posledneje kitajskoje predupreždenije).
How People Actually Use It
Russian term coined during the Cold War to describe a warning that carries no real meaning. An empty threat
"Person 1: "Man, this asshole told me to pay him money or he will burn my house to the ground." Person 2: "Relax, he probably gave you China's final warning.""
Source: Urban Dictionary