Why "Settings" needs Cellular in iOS?
Not to start a Greek chorus here but I checked on my iPhone 5 with the latest IOS (8.1.1) wth wifie and cellular data off and I do not get that message either.

I am thinking that possibly ajkblue is correct and it may be trying to contact Apple's software update servers or your carriers servers for a carrier update. there is likely a timer that forces a check every week or so.