This would indicate that you have not completed the merge. A fully merged document will no longer have connection to the data but be a document, rather than a primary merge document.

I usually do not complete merges but rather use the preview for a particular record and save / print it. If so, when I close and reopen I get that message. I have a macro I use which converts it to a non-merge document and locks the merge fields to retain current data. I have another that unlocks those fields, makes it a letter merge document, and then reattaches the data for those rare cases where I need to do that.

I should note that my method of using mail merge is considered heretical, or at least non-standard.