Prey that are unprofitable to attack are typically conspicuous in appearance. Conventional theory assumes that these warning signals have evolved in response to predator receiver biases. However, such biases might be a symptom rather than a cause of warning signals. We therefore examine an alternative theory: that conspicuousness evolves in unprofitable prey to avoid confusion with profitable prey. One might wonder why unprofitable prey do not find a cryptic means to be distinct from profitable prey, reducing both their risk of confusion with profitable prey and their rate of detection by predators. Here we present the first coevolutionary model to allow for Batesian mimicry and signals with different levels of detectability. We find that unprofitable prey do indeed evolve ways of distinguishing themselves using cryptic signals, particularly when appearance traits can evolve in multiple dimensions. However, conspicuous warning signals readily evolve in unprofitable prey when there are more ways to look different from the background than to match it. Moreover, the more unprofitable the prey species, the higher its evolved conspicuousness. Our results provide strong support for the argument that unprofitable species evolve conspicuous signals to avoid confusion with profitable prey and indicate that peak shift in conspicuousness-linked traits is a major factor in its establishment.