Hi ngardner,
Have you got any Fields in your document?
I did a bit of playing with this (in Word 2000) and got all confused. Some fields (Time, Page Number) seem to get updated (and therefore change the document) no matter what, and others depending on whether you have 'Update Fields' set (Tools > Options > Print). Whether or not fields are locked also seems to have an effect but it’s not immediately apparent how all these elements fit together.
But it gets worse! Simply printing and then closing a text-only document does not trigger Word to want to save. Looking at the properties to see what the date printed is/was does seem to trigger it. So, all in all, your guess is as good as mine!
Whatever the cause, you should be able to suppress the message and/or the save, if you want to, by controlling printing with VBA.
Enjoy,
Tony