I was trying to turn off my Macbook Pro and suddenly got this message. As far as I know, there's no reason why this should be happening. Anyone want to fill me in on some possibilities?
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Apparently, you've enabled File Sharing in the Sharing section of System Preferences. Someone on your network has connected to your computer, either as a registered user or as a guest.
Unless this kind of access is absolutely required, it's good security practice to disable both File Sharing and the Guest user in System Preferences -> Sharing and System Preferences -> Accounts and Groups, respectively.