My Asus mobo says the same thing to me. Why? Because I replaced my stock cooler with a fanless cooler and ran the low RPM 120mm exhaust fan through the CPU header. If the RPMs drop too low (as is my case), it tells you the fan has failed. But the fan is fine.
So as long as you're not having problems with your fan, don't worry about it. Chances are that when the system boots up the RPMs are just lower than what your BIOS wants to see so it complains.