Look at the camera manual. It is designed so that you can set the AF lens to minimum aperture (f/22) and then control the aperture from one of the command wheels on the camera body.
The body can only mechanically stop down the lens as far as the setting on the aperture ring. So if you set the lens to f/8, the body can't stop down the lens to f/11 or f/16, and if you were in P or S mode, and the body wanted to set f/11, it would overexpose. To prevent this, Nikon made the body warn you with that "fEE" message.