Here are a few different ways to detect this using Selenium and other tools:
iterate through all links and ensure they all start with
https://
(though via Selenium, this won't detect complex loaded content, XHR, JSONP, and interframe RPC requests)automate running the tool on Why No Padlock?, which may not do more than the above method
utilize Sikuli to take a screenshot of the region of the browser address bar showing the green padlock (in the case of Chrome) and fail if not present (caveat of using this in parallel testing mentioned here
There is also mention here of the Content Security Policy in browsers, which will prevent the loading of any non-secure objects and perform a callback to an external URL when encountered.
UPDATE:
These proposed solutions intend to detect any non-secure objects being loaded to the page. This should be the best practice for asserting the content is secure. However, if you literally need to detect whether the specific browser's insecure content warning message is being displayed (aka, software testing the browser vs your website), then utilizing Sikuli to match either the visible existence warning messages or the non-existence of your page's content could do the job.