We show that there is a measure-preserving system
$(X,\mathscr {B}, \mu , T)$
together with functions
$F_0, F_1, F_2 \in L^{\infty }(\mu )$
such that the correlation sequence
$C_{F_0, F_1, F_2}(n) = \int _X F_0 \cdot T^n F_1 \cdot T^{2n} F_2 \, d\mu $
is not an approximate integral combination of
$2$
-step nilsequences.