Some additional info. I have activated the debug log in ZHA and found what seems to generate the warning message. If someone could help me to better understand the meaning of these lines, I would be very happy 
Notice that 0x3CDC is my zigbee end device that seems to generate this “ZDO frame” warning message. This end-device is a Xbee3-based node, as the coordinator :
2021-04-21 05:46:33 DEBUG (MainThread) [zigpy.topology] Starting scheduled neighbor scan
2021-04-21 05:46:52 DEBUG (MainThread) [zigpy.topology] Scanning neighbors of 00:13:a2:00:41:c8:c8:57/0x3cdc device
2021-04-21 05:46:52 DEBUG (MainThread) [zigpy.util] Tries remaining: 3
2021-04-21 05:46:52 DEBUG (MainThread) [zigpy_xbee.zigbee.application] Zigbee request tsn #36: b'2400'
2021-04-21 05:46:52 DEBUG (MainThread) [zigpy_xbee.api] Command tx_explicit (00:13:a2:00:41:c8:c8:57, 0x3CDC, 0, 0, <ZDOCmd.Mgmt_Lqi_req: 0x0031>, 0, 0, 0, b'$\x00')
2021-04-21 05:47:25 DEBUG (MainThread) [zigpy_xbee.api] Frame received: tx_status
2021-04-21 05:47:25 DEBUG (MainThread) [zigpy_xbee.api] tx_explicit to 0xfffd: TXStatus.ADDRESS_NOT_FOUND after 0 tries. Discovery Status: DiscoveryStatus.EXTENDED_TIMEOUT, Frame #49
2021-04-21 05:47:26 DEBUG (MainThread) [zigpy.util] Tries remaining: 2
2021-04-21 05:47:26 DEBUG (MainThread) [zigpy_xbee.zigbee.application] Zigbee request tsn #37: b'2500'
2021-04-21 05:47:26 DEBUG (MainThread) [zigpy_xbee.api] Command tx_explicit (00:13:a2:00:41:c8:c8:57, 0x3CDC, 0, 0, <ZDOCmd.Mgmt_Lqi_req: 0x0031>, 0, 0, 0, b'%\x00')
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Frame received: explicit_rx_indicator
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] _handle_explicit_rx: (00:13:a2:00:41:c8:c8:57, 0x3cdc, 0, 32817, 1, b'2500010001051f0d44f02650493c69b74100a213000000040200e6')
2021-04-21 05:47:33 WARNING (MainThread) [zigpy.zdo] [0x3cdc:zdo] Data remains after deserializing ZDO frame
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy.zdo] [0x3cdc:zdo] ZDO request ZDOCmd.Mgmt_Lqi_rsp: [<Status.undefined_0x26: 38>, Neighbors(entries=0, start_index=37, neighbor_table_list=[])]
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy.zdo] [0x3cdc:zdo] Unsupported ZDO request:ZDOCmd.Mgmt_Lqi_rsp
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Frame received: tx_status
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] tx_explicit to 0x3cdc: TXStatus.SUCCESS after 0 tries. Discovery Status: DiscoveryStatus.EXTENDED_TIMEOUT, Frame #50
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.device] [0x3CDC](XBee3): started initialization
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:ZDO](XBee3): 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:208:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:208:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:208:0x000c]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:208:0x000c]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:209:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:209:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:209:0x000c]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:209:0x000c]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:210:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:210:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:210:0x000c]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:210:0x000c]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:211:0x000c]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:211:0x000c]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:211:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:211:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:212:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:212:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:213:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:213:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:214:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:214:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:215:0x000c]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:215:0x000c]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:215:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:215:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:216:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:216:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:217:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:217:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:218:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:218:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:218:0x000d]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.zigbee.application] Remote ATM0 command: ()
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Remote AT command: M0 ()
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Command remote_at (00:13:a2:00:41:c8:c8:57, 0x3CDC, 34, b'M0', b'')
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:219:0x000d]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.zigbee.application] Remote ATM1 command: ()
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Remote AT command: M1 ()
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Command remote_at (00:13:a2:00:41:c8:c8:57, 0x3CDC, 34, b'M1', b'')
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:219:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:219:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:220:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:220:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:221:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:221:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:222:0x0006]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:222:0x0006]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:232:0x0008]: initializing channel: from_cache: False
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:232:0x0008]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:208:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:208:0x000c]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:209:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:209:0x000c]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:210:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:210:0x000c]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:211:0x000c]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:211:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:212:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:213:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:214:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:215:0x000c]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:215:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:216:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:217:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:220:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:221:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:222:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:232:0x0008]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Frame received: remote_at_response
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Remote AT command response from: (51, 00:13:a2:00:41:c8:c8:57, 0x3cdc, b'M0', 0, b'\x00\x00')
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:218:0x000d]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:218:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:218:0x000d]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Frame received: remote_at_response
2021-04-21 05:47:33 DEBUG (MainThread) [zigpy_xbee.api] Remote AT command response from: (52, 00:13:a2:00:41:c8:c8:57, 0x3cdc, b'M1', 0, b'\x00\x00')
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:219:0x000d]: finished channel configuration
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:219:0x000d]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x3CDC:219:0x0006]: 'async_initialize' stage succeeded
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.device] [0x3CDC](XBee3): power source: Mains
2021-04-21 05:47:33 DEBUG (MainThread) [homeassistant.components.zha.core.device] [0x3CDC](XBee3): completed initialization
2021-04-21 05:47:34 DEBUG (MainThread) [homeassistant.components.zha.core.device] [0x0000](XBee): started initialization
2021-04-21 05:47:34 DEBUG (MainThread) [homeassistant.components.zha.core.channels.base] [0x0000:ZDO](XBee): 'async_initialize' stage succeeded
2021-04-21 05:47:34 DEBUG (MainThread) [homeassistant.components.zha.core.device] [0x0000](XBee): power source: Mains
2021-04-21 05:47:34 DEBUG (MainThread) [homeassistant.components.zha.core.device] [0x0000](XBee): completed initialization