Sometimes when you make a deal with a city-state or another civ, they ask for iron. You are not using it, but they are. I am not sure why it does not show up as part of the statistics though.
If you have any units that use iron, they should be in the statics also. I have noticed a bug that causes that message to keep showing even when it is not the case. I think that it will not go away when you try to dismiss it either, but it has been a while. I do not have an answer how to solve it though.