sometimes a little bit of play is hard to feel at the axle -- 2-3mm at the rim is practically nada at the hub. Head over to the park tool site and learn to adjust your hub and you should be able to get rid of it, or take it to a shop.
It's also vaguely possible that you actually have play in your headset and it feels like hub play. Grab it by the fork and shake it a bit, and see if you feel any clunking.