It is not Error message. In general Pega OOTB activity Finish Assignment is called after clicking on Submit or Next Button. In this activity Obj-Save is performed to save the inputs given in section.
In above scenario just inputs are given to case and data is not saved to Work Object. So Pega internally throws an alert message “You are about to close an open work item which has changes that have not been saved”. This is default Pega behavior.
If requirement specifies not to display this message then need to customize OOTB activity.
Thannkyou venkatesh and vinod for your answers In my case there is a field of control checkbox, when I keep it as editable and trying to refresh the section I am getting that message, if it is readonly I am not getting that message