It means you're either sitting WAYYY to close to the tv and sensor bar or you are to far. Try moving the sensor bar around like above or below the tv.
Just don't worry about it okay? it isn't broken since I too get that flashing red x all the time while playing Call of Duty and or any game which requires the motion controls.
the red X is letting you know that you are not pointing the Wii Remote at the screen, it's not picking up the remote from the sensor bar, so point the remote at the screen and you'll be fine.