They warned me about pickpockets in the train station. This is correct. They warned me of pickpockets in the train station. This is understandable but sounds awkward. They warned me to be careful of pickpockets in the train station. This is a better sentence. "They warned for pickpockets in the train station." It is not correct. They warned me for days about pickpockets in the train station. It shows how "for" can be used.

"About" is OK, and "of" is OK. "Of" sounds a little bit old-fashioned, though. "For" is wrong. The most natural preposition for a _warning_ would be "against:" "They warned me against pickpockets in the train station."