I am watching green flashing light while I have not started any rally. What it does means?

The green flashing light means that an ally (someone from your alliance) is marching to your city. If its not for a rally then they are marching as a reinforcement. This may be to help you if you are being attacked or they maybe hiding their troops in your base if you are shielded.

It may also be a glitch with the graphic left over after you have already done a rally. Restarting the app should clear that.