I had the same problem very recently (if you search some threads you'll probably find me asking me about it!), all bulbs working as they should, but bulb warning light stays on the dash..... until you turn the lights on and then it goes out, turn the lights off and it comes on again.
Member(s) on here said to check to see if one of the rear lights was staying on, even if ignition off and key out. I checked (more than once) and I was sure they were all off. It was only when the car was in pitch black out in the country side at a mates house and we were walking back from the pub that I noticed the rear light was on ever so slightly/hardly at all, no where near normal brightness....very very dimly.
I looked at in from the boot (as if changing the bulb) and it was on...just. (You need absolute darkness/towel over your head darkness to tell)
The remedy was to replace the rev counter (search thread 'rev counter problem'). I bought a replacement from Autolusso for £40 and changed it myself (3 screws and 'unplugging it', 'plugging' replacement in, screws back in...job done and im not handy at all, if I can you can!)
This solved the problem, it being that the electrics that run through your rev counter have died, replacement rev counter needed.