I actually had something regarding this happen to me in my game yesterday. Oo
I had NOT yet discovered archeology an I settled a city in the late renaissance on a two-tile island an an empty jungle/forest hex. A message popped up asking me if I was sure because the improvement "antiquity site" would be permanently destroyed.
I think some AI already had archeology, so maybe the spots were already generated. Seems it warns you even if you don't see the sites.