That doesn't look like anything specific to Zenno to me. Many websites give little popup warnings like that to keep you on the page especially if you've typed in info that will not be saved if you click a link to leave the page. Just as an example, start typing in the "Quick Reply" box of this thread and then click a link to go to a different page on the site - it gives a very similar message.
So whatever website you were on generated that message possibly because you had a partially filled out form on the page and then clicked the link.