Executed a Stored Procedure in the Production Server and the following warning message is shown
When you are closing SSMS, it check for 

IF @@TRANCOUNT &gt; 0 ROLLBACK TRANSACTION


Or you can use sys.dm_exec_requests

SELECT open_transaction_count FROM sys.dm_exec_requests WHERE session_id = @SessionId


In this case you have an open transaction so on connection closure process SQL Server will roll back that transaction. In this case you need to take a look at the stored procdure dbo.GenActiveItemPriceList and identify what is this transaction is which is not commited and it's furter impact.