The cosmological missing baryons at z < 1 most likely hide in the hot (T ≳ 10^5.5
K) phase of the warm hot intergalactic medium (WHIM). While the hot
WHIM is hard to detect due to its high ionisation level, the warm (T ≲
10^5.5 K) phase of the WHIM has been very robustly detected in
the far-ultraviolet (FUV) band. We adopted the assumption that the hot
and warm WHIM phases are co-located and therefore used the FUV-detected
warm WHIM as a tracer for the cosmologically interesting hot WHIM. We
performed an X-ray follow-up in the sight line of the blazar PKS
2155-304 at the redshifts where previous FUV measurements of O VI, Si
IV, and broad Lyman-alpha (BLA) absorption have indicated the existence
of the warm WHIM. We looked for the O VII Heα and O VIII Lyα absorption
lines, the most likely hot WHIM tracers. Despite the very large exposure
time (≈1 Ms), the Reflection Grating Spectrometer unit 1 (RGS1)
on-board XMM-Newton data yielded no significant detection which
corresponds to upper limits of log N(O VII(cm^-2)) ≤ 14.5-15.2 and log N(O VIII(cm^-2))
≤ 14.5-15.2. An analysis of the data obtained with the combination of
the Low Energy Transmission Grating (LETG) and the High Resolution
Camera (HRC) on-board Chandra yielded consistent results. However, the
data obtained with the LETG, combined with the Advanced CCD Imaging
Spectrometer (ACIS) lead to the detection of an feature resembling an
absorption line at λ ≈ 20 Å at simple one-parameter confidence level of
3.7σ, consistent with several earlier LETG/ACIS reports. Given the high
statistical quality of the RGS1 data, the possibility of RGS1
accidentally missing the true line at λ ̃ 20 Å is very low: 0.006%.
Neglecting this, the LETG/ACIS detection can be interpreted as Lyα
transition of O VIII at one of the redshifts (z ≈ 0.054) of FUV-detected
warm WHIM. Given the very convincing X-ray spectral evidence for and
against the existence of the λ ̃ 20 Å feature, we cannot conclude
whether or not it is a true astrophysical absorption line. Considering
cosmological simulations, the probability of the LETG/ACIS λ ̃ 20 Å
feature being due to the astrophysical O VIII absorber co-located with
the FUV-detected O VI absorber is at the very low level of ≲0.1%. We
cannot completely rule out the very unlikely possibility that the
LETG/ACIS 20 Å feature is due to a transient event located close to the
blazar.