Disk projects store the PLC Communications Link as part of its data, just like the logic and documentation. When you actively "disconnect" a disk-based project, you are telling the disk project to NOT be associated with THAT PLC.
Hence, when you actively "disconnect" via the menu with the disk project opened, you have technically changed the disk project (disassociating the PLC that project is tied to). So, when you close the project, it asks you whether you want to save that change (i.e. remove the comm link from the disk project).