Bond king Bill Gross warned that U.S. financial markets may be headed for a nasty plunge because they have become “a shell game” because of such government tinkering as quantitative easing.

He points to the recent crash of the Chinese stock market as to what American investors can anticipate.

"This shell game has been taking place for a long time," the manager of the Janus Global Unconstrained Bond Fund told CNBC.

"We see the same thing, basically, in all central banks in terms of their interest rates, in terms of quantitative easing from the ECB."

Gross first tweeted about it Wednesday morning.

Gross: All global financial markets are a shell game now. Artificial prices, artificial manipulation. Where's the real pea (price)?

— Janus Capital (@JanusCapital) July 29, 2015

Tere's no doubt that the 'p,' in this case the price of assets, I suppose, is sort of a question mark, and ultimately when central banks stop manipulating markets, where that 'p' goes, I think, is up for grabs and probably the arrow points downward," Gross told CNBC.

But Gross does confess that there are ways to win the game.

"There are choices and there are interest rates and prices that are relatively high and some relatively low. So that's the opportunity," he said.

Gross said illiquidity in the high-yield market, especially among high-yield exchange-traded and closed end funds, had been exposed. The Barclays U.S. Corporate High Yield index has fallen 1.3 percent so far this month through Tuesday.

Gross, who recommended in June shorting the China Shenzhen Composite Index before its huge slump, told CNBC on Wednesday: "It's not necessary to short the Chinese stock market, matter of fact it's very dangerous, what you do is you look outside the Chinese economy."

He recommended taking advantage of the "increasing risk atmosphere" and volatility in other markets that the declining Chinese stock market generated.

Gross' comments on high-yield ETFs came after activist investor Carl Icahn said earlier this month that he was concerned about illiquidity in the high-yield ETF market and feared the consequences of a potential sell-off in high-yield ETFs once the Federal Reserve hikes interest rates.

Gross' recent string of bold calls at Janus, including his "short of a lifetime" trade against German Bunds, has not translated into profitable trades.

"My famous (infamous?) 'Short of a lifetime' trade on the German Bund market was well timed but not necessarily well executed," Gross wrote in his June investment outlook report to clients.

He did not elaborate on the execution of the transaction.

In addition, Gross never executed the China Shenzhen Composite Index short trade.

(Reuters contributed to this report).

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