This is normal behaviour. To stop receiving the mail, your crontab entry should look something like:
00 02 * * * /script > /dev/null 2>&1
The latter parts redirect output to /dev/null, the bit-bucket. Be warned that any errors will also be lost, so you might not know if a job has failed if you take this course. Change /dev/null to the path to a log file if you don't want this to happen. HTH.