Disk not ejected properly

I have received several times in past week an error message to say "The disk was not ejected properly. If possible always eject a disk before unplugging it or turning it off"
Unfortunately I do not know how to add a screen shot of the error message to this post to illustrate.
However, I have not ejected any external device so I'm unsure why the error message shows.

When I had a USB drive, sometimes I would get that message when the drive went to sleep on it's own. I never found a way to keep the drive from sleeping, so I got rid of it. I don't remember the vendor, sorry, but now I'm all WD drives and don't have that error any more.

Member MacInWin is correct. Certain external hard drives will spin down and sleep after a duration of time and that causes OS X to "think" the drive has been removed. You can either replace the drive as pointed out above, or query the manufacturer to see if there is a firmware update that resolves the sleep problem.

Disk did not eject properly

Thanks both for the advice.
Actually I am using a new WD My Passport for Mac, but will certainly check with the manufacturer.