  The cosmological missing baryons at z<1 most likely hide in the hot
(T$\gtrsim10^{5.5}$ 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$\lesssim10^{5.5}$ K) phase of the WHIM has been very robustly detected in
the FUV band. We adopted the assumption that the hot and warm WHIM phases are
co-located and thus used the FUV-detected warm WHIM as a tracer for the
cosmologically interesting hot WHIM. We utilised the assumption by performing
an X-ray follow-up in the sight line of a blazar PKS 2155-304 at the redshifts
where previous FUV measurements of OVI, SiIV and BLA absorption have indicated
the existence of the warm WHIM. We looked for the OVII He$\alpha$ and OVIII
Ly$\alpha$ absorption lines, the most likely hot WHIM tracers. Despite of the
very large exposure time ($\approx$ 1 Ms), the XMM-Newton/RGS1 data yielded no
significant detection which corresponds to upper limits of $\log{N({\rm
OVII})({\rm cm}^{-2}))} \le 14.5-15.2$ and $\log{N({\rm OVIII})({\rm
cm}^{-2}))} \le 14.9-15.2$. An analysis of LETG/HRC data yielded consistent
results. However, the LETG/ACIS data yielded a detection of an absorption line
- like feature at $\lambda \approx$ 20 \AA\ at simple one parameter uncertainty
- based confidence level of 3.7 $\sigma$, consistently 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 $\lambda \sim$ 20
\AA\ is very low, 0.006%. Neglecting this, the LETG/ACIS detection can be
interpreted as Ly$\alpha$ transition of OVIII at one of the redshifts
(z$\approx$ 0.054) of FUV-detected warm WHIM. Given the very convincing X-ray
spectral evidence for and against the existence of the $\lambda \sim$ 20 \AA\
feature, we cannot conclude whether or not it is a true astrophysical
absorption line.
