As an emerging first-line supervision method, whether the exchange comment letter can perform the function of “risk warning” has been attracting much attention from the field proper. In this paper, we select Shanghai and Shenzhen A-share listed companies from 2014 to 2019 as research samples, explore the impact mechanism of the exchange comment letters on audit fees from the perspective of audit risks. The result shows that the comment letters will increase audit fees. High-quality internal controls and high media attention have weakened the impact of comment letters on audit fees, indicating the existence of a “risk disclosure effect”. At the same time, companies that have received comment letters have a greater probability of financial restatements, being involved in litigation cases, and being subject to administrative penalties, thereby increasing audit fees, indicating the existence of a “risk conduction effect”. This paper, from the audit perspective, confirms the role of the comment letters as a risk warning, inspiring to drive an innovation of China's securities market supervision model.