I once heard that Julius Caesar knew he was going to be assassinated, and was even warned by his guard before entering the building. However, due to serious health problems he was experiencing, he wanted an honorable death so entered anyways. Is this true?

This is a highly contorted version of what Appian reports when he mentions Caesar's formation of his Parthian campaign:

ὁ δέ, εἴτε ἀπογνούς, εἴτε κάμνων καὶ ἐκκλίνων ἤδη τήνδε τὴν πεῖραν ἢ διαβολήν, εἴτε τισὶν ἐχθροῖς τῆς πόλεως ἀφιστάμενος, εἴτε νόσημα τοῦ σώματος θεραπεύων, ἐπιληψίαν καὶ σπασμὸν αἰφνίδιον ἐμπίπτοντα αὐτῷ μάλιστα παρὰ τὰς ἀργίας, ἐπενόει στρατείαν μακρὰν ἔς τε Γέτας καὶ Παρθυαίους

And he, either giving up hope [of being made king] or tired and retiring from this attempt [at kingship] and quarrel, or giving the city to his enemies, or attending to the sickness of his body (consisting of epilepsy and sudden convulsions that fell upon him especially when he was idle), conceived of a great campaign against the Parthians and Getae.

Plutarch and Suetonius both mention Caesar's illness or poor health, in different places. In Plutarch, Caesar's health is mentioned in connection with his campaigns, as a factor that despite everything did not prevent him from being a great soldier. Suetonius actually says the opposite of what you say:

Ob haec simul et ob infirmam valitudinem diu cunctatus an se contineret et quae apud senatum proposuerat agere differret

On account of these reasons [the various portents pointing to his death] and on account of his shaky health he delayed for a while whether he should stay at home and put off what he had proposed to do in the senate

None of our sources mention anything about an honorable death, or of Caesar knowing about the conspiracy, although Appian tells a story about Caesar asking at a banquet the day before his murder what the best kind of death was. But Appian also says that when Caesar offered sacrifice before meeting the senate in the Theater of Pompey he was about to send Antony to dissolve the meeting on account of the poor omens from the sacrifice (a perfectly legitimate reason, that's why the consuls offered sacrifice before senatorial meetings in the first place) but Decimus Brutus convinced him to go to the Theater of Pompey himself and dismiss it. Nor would there have been a guard to warn Caesar of anything. All our major sources report that Caesar disbanded his military guards and refused to surround himself with anything more than his friends, apparitores (the "staff" of a magistrate, including his scribes and lictors), and clients. Plutarch has him warned by a seer and by his wife Calpurnia, neither of whom could have known what was going on (if the seer even existed in the first place). Suetonius also tells of Spurinna the seer, as does Appian (without naming him).

Appian's report of the murder is extremely confusing though, since he refuses to name people. There are two very shady characters that Appian mentions whose identities are unknown to us. The first is some unnamed dude who told Casca outside the Theater of Pompey that even though Casca had tried to keep it hidden from him he knew all about it from Brutus. Turns out he wasn't talking about Caesar's murder but Casca's plans to stand for the aedileship. The other is this shady τῶν οἰκείων τις αὐτῷ ("someone of his household," or perhaps οἰκεῖος here means "associates" or "family") who somehow learned about the conspiracy and hurried to Caesar's house only to find him already gone for the senate. We would really like this to be Antony, but it can't reasonably be from what Appian tells us--the next chapter has Antony already at the Theater of Pompey, while this dude apparently stayed at Caesar's house waiting for him to return, since he didn't know that the murder was supposed to take place that day. But Appian's account is generally just confused.

So not only does no source report that Caesar went to the Theater of Pompey that day intentionally to get his ass killed, but it doesn't make sense. Caesar was only days away from heading off on his great Parthian expedition, the one that Appian says he formulated possibly to stave off his epilepsy (which I don't think anyone thinks he actually had, among Hellenistic and Second Sophistic writers it's a common formula for "great general"). Indeed, the whole deal with the Ides of March was that it was going to be the last day the conspirators would have to off him before he headed out to the army. Why on earth would Caesar put together such a grandiose plan if he planned to get himself yoinked right before starting it? Moreover, if he had wanted an "honorable death," which no source mentions, wouldn't it be so much more honorable to go out on the battlefield than get ganked by a bunch of dipshits?

There's something to be said, however, for the idea that Caesar might have known at least something was up. It wasn't exactly common knowledge that Brutus and the boys were going to boop him, but it was pretty well-known among the senatorial class that something or another was up. Cicero famously tried to get Brutus to tell him what was going on but was excluded from the group. Antony may also have had some idea of what was going on, and he was involved in an earlier conspiracy set up by Gaius Trebonius (what his involvement in this conspiracy, and in the conspiracy that eventually murdered the dictator, actually was is unclear, thanks to Cicero's invective in the Philippics). But even if Caesar had a hunch something was going on (a shaky assertion in and of itself) there's no actual reason to believe that he necessarily planned to do anything about it.