I run a lot of different version of various languages and tools across my system. Nix and direnv help make this possible to manage reasonably. Recently, starting a new Python project, I was running into this warning after install dependencies with pip (yes, I am aware there are new/fresh/fast/cool ways to install dependencies in Python but that is what this project currently uses).

WARNING: There was an error checking the latest version of pip.

It turned out the file in ~/Library/Caches/pip/selfcheck was corrupted. Removing the directory and reinstalling pip fixed the warning.

rm -r ~/Library/Caches/pip/selfcheck/
pip install --upgrade --force-reinstall pip