Been using carrara 8.5 on mac os 10.8! Everytime i hit save I get this warning for no less than 6 times!
next time: SAVE AS....
Pick the option to save all textures INTERNALLY
The textures should normally be saved "Locally" (wherever they are right now, without effecting them, or moving them)
Internally will add them physically into the scene file, which will make the scene file massive, and should be avoided unless you're moving everything to a different machine.
If this is a scene you've been working on, and you haven't set the options to save anything extrnally, then it should be reported as an issue.
I think this was a bug in the last beta (149). Even if you selected save internally, it would prompt you to save the texture and if you hit OK it would act like it was saving, but it wouldn't create the file. I think it went away with the latest beta (172).