Well, do you actually work on a calibrated system? What document color profile? Just arbitrarily hacking in color values is no use without calibration when working in CMYK. And the out of gamut warning is there for a reason. Whatever color you use simply won't print that way. Even AI can't defeat the physics involved with reproduction. It probbaly comes up because you chose too light a color and the density isn't sufficient or conversely you over-saturate one of the inks. Either way, you have not provided nearly enough info, most notably the color management stuff and what color(s) you are actually trying to use.
Mylenium