We present ZTF20aajnksq (AT2020blt), a fast-fading ($Delta r=2.4$ mag in $Delta t=1.3$ days) red ($g-rapprox0.6$ mag) and luminous ($M_{1626}=-25.9$) optical transient at $z=2.9$ discovered by the Zwicky Transient Facility (ZTF). AT2020blt shares several features in common with afterglows to long-duration gamma-ray bursts (GRBs): (1) an optical light curve well-described by a broken power-law with a break at $t_mathrm{j}=1$ day (observer-frame); (2) a luminous $(L_X = 10^{46}$ $mathrm{erg}$ $mathrm{s}^{-1})$ X-ray counterpart; and (3) luminous ($L_ u = 4 times 10^{31}$ $mathrm{erg}$ $mathrm{sec}^{-1}$ $mathrm{Hz}^{-1}$ at 10 GHz) radio emission. However, no GRB was detected in the 0.74d between the last ZTF non-detection ($r > 20.64$) and the first ZTF detection ($r = 19.57$), with an upper limit on the isotropic-equivalent gamma-ray energy release of $E_{gamma,mathrm{iso}} < 7 times 10^{52}$ erg. AT2020blt is thus the third afterglow-like transient discovered without a detected GRB counterpart (after PTF11agg and ZTF19abvizsw) and the second (after ZTF19abvizsw) with a redshift measurement. We conclude that the properties of AT2020blt are consistent with a classical (initial Lorentz factor $Gamma_0 gtrsim 100$) on-axis GRB that was missed by high-energy satellites. Furthermore, by estimating the rate of transients with light curves similar to that of AT2020blt in ZTF high-cadence data, we agree with previous results that there is no evidence for an afterglow-like phenomenon that is significantly more common than classical GRBs. We conclude by discussing the status and future of fast-transient searches in wide-field high-cadence optical surveys.