Index: domains/python.py
===================================================================
--- domains/python.py	(revision 89001)
+++ domains/python.py	(working copy)
@@ -643,6 +643,12 @@
         matches = self.find_obj(env, modname, clsname, target,
                                 type, searchmode)
         if not matches:
+            msg = ':%s:`%s` target not found' % (type, target)
+            if clsname is not None:
+                msg += ' in class %s' % (clsname,)
+            if modname is not None:
+                msg += ' in module %s' % (modname,)
+            env.warn(fromdocname, msg, node.line)
             return None
         elif len(matches) > 1:
             env.warn(fromdocname,