This is for certain dependent on some specific aspect of your (or potentially Panel’s) usage of Bokeh. I am am afraid we cannot really even begin to speculate without an MRE. All I can try to do is explain the message in more lay-terms in case that gives you some avenues to investigate yourself.
When Bokeh app sessions are created, a new module is created for the session (e.g. bokeh_app_f6b4a122a1a348aca7596e9a77d04393) and then the app code is executed inside that module. When the session is destroyed, Bokeh deletes the module and everything in it. As a precaution, Bokeh also checks that after it has deleted everything it knows about, that there is nothing left holding a reference to the module. That is where this message comes in. There should be nothing left, but in your case something (not Bokeh itself), somehow has held a reference to the session module, preventing it from being deleted. To be honest, that’s not easy to even do. You would have to be mucking around very low/private levels of Bokeh, or making custom Handler classes. If that does not sound like anything you are doing, then the issue most likely originates in Panel, since Panel would be working at those levels. But Panel is a separate project maintained by a different team of people. Questions about Panel should be directed at the HoloViz Discourse: