The clipboard contains copied data in several different formats - some of
those, in the case of a picture, say, or a large quantity of formatted text,
can be quite large. To save space (and time), some of those formats are
simply held as flags saying 'if you need this format, go check the
application you were copying from'. When you close the application you last
copied from, and there is such a marker on the clipboard, you remove the
ability of the clipboard to 'go check it' so, if you want to keep it for
later use, the full details of that format must be placed on the clipboard
before the application closes. The application you are closing is just
asking you whether it needs to do this closing, or whether you can live
without it. You know what you copied, you know whether you still need it; if
you need to look at the clipboard because you can't remember what you last
copied, you almost certainly don't need it any longer and can reply to that
effect.
