My phone has been doing this every so often for the past few months, most often, when trying to view a text message. I’m a bit confused as to why this is something I can even set. This link suggests turning iMessage off/on & making sure Messages is set up to receive messages on my phone and my Apple ID. Will be trying this out & will report results here.
Update, 10/15/2012:
So, I haven’t seen this issue since I made the modification. However, I’ve since also upgraded to iOS 6, so I can’t tell if that’s why I’m not seeing it anymore. Either way, works for me! 🙂