[Python] Why my codes trigger the SettingWithCopyWarning in pandas

I'm confused by this pandas warning. I'm already using the recommended .loc[,] format, but the warning persists. Can someone explain why this warning is appearing?

df = pd.DataFrame({'A': [1, 2, 3], 'B': [4, 5, 6]})
sub_df = df.loc[df.A > 1]
sub_df.loc[:, 'C'] = sub_df.A + sub_df.B


Here is the warning message:

<ipython-input-203-8af37ac9de96>:3: SettingWithCopyWarning:
A value is trying to be set on a copy of a slice from a DataFrame.
Try using .loc[row_indexer,col_indexer] = value instead

See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy
sub_df.loc[:, 'C'] = sub_df.A + sub_df.B

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