When doing a
It indicates that you do not have a newline (usually
'\n', aka CR or CRLF) at the end of file.
That is, simply speaking, the last byte (or bytes if you're on Windows) in the file is not a newline.
The message is displayed because otherwise there is no way to tell the difference between a file where there is a newline at the end and one where is not. Diff has to output a newline anyway, or the result would be harder to read or process automatically.
Note that it is a good style to always put the newline as a last character if it is allowed by the file format. Furthermore, for example, for C and C++ header files it is required by the language standard.