If you restore, on any device that can accept that iOS, you will have to update too. I imagine this is one of the reasons why 'they' say not to restore a jailbroken phone [not that I've ever had one].
I've never actually seen the Slide to Upgrade, as I don't do upgrades/restores OTA, always connected to iTunes, but on iTunes it wants to fetch the update before it will let you do anything else at all.
The only exception would be an iPhone 4, etc, which has reached end of life.
Following comments that you can revert to an earlier version by downloading the .ipsw file - this is always going to be the case for a few weeks after an update, but will always timeout & leave an upgrade as the only alternative most of the time - research shows me that indeed today is that day (6 April 2016) for 9.2.1 - Following release of iOS 9.3 & 9.3.1, Apple stops signing iOS 9.2.1