As two information intermediaries in the capital market, rating agencies and accounting firms may use the information disclosed by the other parties, which improves the efficiency of market resources transmission. Using the bond data issued by the listed companies in 2008—2016, this paper discusses the risk connotation of the bond rating by studying the influence of abnormal audit cost on the bond rating. The research shows that there is a significant negative correlation between the abnormal audit cost and the bond rating result in the Chinese corporate bond market, and the correlation is more significant during the contraction or in the non state enterprises. Through further analysis, it is found that the higher the abnormal audit cost, the higher the z value of the default risk, the higher the bond issuance spreads, thus confirming the risk view of abnormal audit cost. The conclusions of this paper provide additional impetus for regulators to monitor the business processes of audit firms and rating agencies to improve market efficiency.