As far as I'm aware there's no way to prevent this warning, because Microsoft doesn't want you to lose your data by accident (e.g. closing Word before pasting some text in another program).
It's just due to the way the Windows Clipboard works. When you copy and paste things, for modern programs the originating application might still interact with the target application when trying to insert something you've copied. That's how you're able to copy text in a web browser and insert it as HTML formatted text in a Word document for example (just the other way around).
While the Windows Clipboard by itself supports a few different media formats, techniques like this allowed developers to expand the possibilities.
If you don't want the warning to appear, just copy and paste your content before closing the program, then copy something tiny (like a word or cell) and you won't get the message. As an alternative, you can open the Clipboard panel (click on the arrow in the bottom right part of the Clipboard section on the Insert ribbon) and delete snippets before closing.
You can automate this using a macro as explained here, although I wouldn't really recommend it, because some time sooner or later you'll lose text or formatting that way you wanted to keep.
'Events: http://msdn.microsoft.com/en-us/library/bb208800.aspx
Sub AutoExit()
ClearClipboard
End Sub
Sub ClearClipboard()
Dim MyData As Object
' source: http://akihitoyamashiro.com/en/VBA/LateBindingDataObject.htm
Set MyData = CreateObject("new:{1C3B4210-F441-11CE-B9EA-00AA006B1A69}")
MyData.SetText ""
MyData.PutInClipboard
Set MyData = Nothing
End Sub