However I'm getting this too, but inside of a barracks, where my soldiers will occasionally cancel sparring due to "dangerous terrain".
Every time I pause and look to where they are, they seem to be in the middle of the barracks (which is a simple square sealed room of sufficient size carved out of soil) with no obvious reason to be doing so. My only guess is the furniture is getting in the way, in my scenario. In yours, it sounds pretty vexing.
The second theory was that if a sparring Dwarf is knocked onto a tile with some furniture that is not normally walkable, such as a statue or armour/weapon rack, it'll trigger the cancellation.
Sorry that doesn't help the OP much, though.