It sounds like you are not sure you were pregnant.
If you want to be 100% sure, do a pregnancy test, and if it's negative, you know you are not pregnant. It's possible you may have had a very early miscarrige, they are very common, but it's even more likely that your period was just late. There's no real way to know unless get blood tests immediately, and there isn't a lot of point in making a fuss about finding out now.
Accept your warning, remember that taking chances about pregnancy is silly, and don't take any more.