An unbesieged garrison need no supply, but an unbesieged corps inside a city does; if the city pointed out by the message is unbesieged and you have no corps in it, it's a bug.
It's not something that happens all the time; just to certain garrisons at certain times, usually where there has been a depot and corps previously that have now been moved away.
I suspect it's related to the fix of another bug. In previous versions, when you relieved a siege the garrison did not forage, even though it's supposed to. Now it does, and you get the "out of supply" warning (which, unless it's a port, isn't much help, since there's no way to supply it). I think this bug must be related to the sequence of checks the game performs. As I said, the unbesieged garrisons don't appear actually to forage or lose factors, so it's not a serious bug; it must just be marking them as having lost a supply source when the depot goes, then issuing the warning, then realizing they don't need supply. (That's an awkward way of putting it, but I don't know how the game works on the inside. Maybe it "autoforages" unbesieged garrisons; if you click "end phase" before autoforaging, you'll get a warning about your corps that are out of supply, even if they can autoforage--it could be similar to that.)