I just had the same problem on my 240. Was driving me crazy. Here's an excerpt from the 700/900 FAQ

"Bulb Failure Sensor Lamp Won’t Go Out. [Query:] My left low beam failed, and my bulb failure warning light dutifully advised me of the need to replace the bulb. I replaced the left low beam, and all the lights on the car work now. But, my warning light is still on, though it goes out when I flip to high beams. Anyone know a fix for this? [Response:] The bulb failure sensor works on current flow. If the bulbs are miss matched, say a Wagner bulb on the left and a Sylvania on the right, chances are they have different resistances. This causes different current flows to each bulb and the light on the dash will come on. You may just want to change the other headlight and hope that stops it, or live with it. Also, corrosion in the connectors in the circuit that the head lights are on can cause the indicator light to come on. It can be very frustrating, and I know many people that have pulled the little bulb out of the dash. "


I had left tailight burn out. Replaced that. Still had odd problems. Like sometime the light would come on, but go off if you turned the switch to another position. Always came on, stayed on when you stepped on the brakes. But switching lights would clear it. I was thinking bulb failure sensor too, but it was not. I cleaned all the contacts, made sure the plastic tabs were all lined up properly, cleaned the fuses (important on a 240), got 2 new tail light bulbs. Still had the problem. Turned out to be on the other side tail-light, the contacts were slightly depressed. So, sprung those back out, and now everything is fine.

Good Luck,

Tom