diff --git a/pkg/exemplars/proxy.go b/pkg/exemplars/proxy.go
index b0f23b229e4..9bd3b433bcf 100644
--- a/pkg/exemplars/proxy.go
+++ b/pkg/exemplars/proxy.go
@@ -191,8 +191,8 @@ func (stream *exemplarsStream) receive(ctx context.Context) error {
 			if err := stream.server.Send(exemplarspb.NewWarningExemplarsResponse(err)); err != nil {
 				return errors.Wrapf(err, "sending exemplars error to server %v", stream.server)
 			}
-
-			continue
+			// Not an error if response strategy is warning.
+			return nil
 		}
 
 		if w := exemplar.GetWarning(); w != "" {
diff --git a/pkg/metadata/proxy.go b/pkg/metadata/proxy.go
index 80d0c8a0471..2bf1a4a276c 100644
--- a/pkg/metadata/proxy.go
+++ b/pkg/metadata/proxy.go
@@ -135,7 +135,8 @@ func (stream *metricMetadataStream) receive(ctx context.Context) error {
 				return errors.Wrapf(err, "sending metadata error to server %v", stream.server)
 			}
 
-			continue
+			// Not an error if response strategy is warning.
+			return nil
 		}
 
 		if w := resp.GetWarning(); w != "" {
diff --git a/pkg/targets/proxy.go b/pkg/targets/proxy.go
index d92ffa6c026..dd33b8cc303 100644
--- a/pkg/targets/proxy.go
+++ b/pkg/targets/proxy.go
@@ -119,8 +119,8 @@ func (stream *targetsStream) receive(ctx context.Context) error {
 			if err := stream.server.Send(targetspb.NewWarningTargetsResponse(err)); err != nil {
 				return errors.Wrapf(err, "sending targets error to server %v", stream.server)
 			}
-
-			continue
+			// Not an error if response strategy is warning.
+			return nil
 		}
 
 		if w := target.GetWarning(); w != "" {