Excel Compatibility Report: How do I find the offending cells?

As “Copy to New Sheet” has found no specific errors, the problem is probably not very localized.

One possible reason from How to fix/eliminate MINOR LOSS OF FIDELITY errors :

The "loss of fidelity" is likely the result of different color definitions used between the two versions. If you want to save the workbook in the older format, you need to use only colors that are defined in the older versions of Excel. To see these, click on the Office button, pick Excel Options from the bottom of the frame, and go to the Save tab. Click on the Colors... button, and you'll see the palate available for the older versions. You can see the RGB values for colors in the palate by choosing one, clicking the Modify... button, and then going to the Custom tab. To avoid the annoying "loss of fidelity" message, you have to use colors with exactly the same RGB values for the colors in that palate. Check fonts, fills, and lines on all sheets in the workbook.

From the 2007 help, when manually running Compatibility Checker:

In this box, the Compatibility Checker lists all of the compatibility issues it found, such as new or improved features or functionality that you used in an Office Excel 2007 workbook that are not supported in an earlier version of Excel. The box also lists the number of times that an issue occurs in the workbook. You can click Find to locate the issues.