I would open all access doors and check to make sure there are no torn pieces of paper inside the printer. I would also clean the printer to make sure all sensors, contacts, and rollers. Make sure the print fuser is not wrinkled and that the roller inside the fuser is nice and neat. Gently turn the printer upside down and shake it to see if anthing falls out of the printer.
Also turn the printer off and unplug the power cable. Press and hold the ON button or the Power button for 45 seconds and release. Plug the power cable back into the printer and turn the printer back on. See if the message is gone.
If you still can't find a paper jam, it is possible that there is another problem causing it, such as a sensor gone bad at the same time. I would recommend getting it serviced by an authorized Brother dealer, as color laster printers typically run from 60-100 and would be much cheaper to repair than buy again.
I can mostly likely guarantee you that is it a piece of paper. If you are not comfortable enough to unscrew or take it apart an authorized Brother dealer would be happy to look at it for you. I know places like Brother and HP are giving 50-75% of services, repairs, and new units for sending in your old faulty one.
Glad I could be of assistance, If you need anymore help please ask, otherwise have a good night and god bless! Please accept so I can be compensated for my time/work, also feedback is highly appreciated!Travis B.