Taking shots in the dark here, but there is a data usage section under wireless & networks in settings. In that menu there is a toggle for 'alert me about data usage'. You can then drag a slider up and down to set the cap for when your phone warns you about data usage. Maybe yours is dragged to the very bottom so it alerts you about any data usage?
Unlikely because it would show up during everything, but worth asking. Maybe just disabling the notification toggle would work. Also, does your carrier ship with specific software to monitor data usage? If so then check all of those apps settings to see if anything has any effect.