If you have an object..(model..etc) in your viewport..its considered a scene even tho you have no other items with it.  I think the program is telling you to select the character you are trying to save...so it will know what to save.  If you don't select it the program doesn't see it....You are in charge and you have to tell it what to do...if you do something wrong sometimes the program tells you how to correct it.  In this case try selecting your character even tho there is nothing else there..and then save it.

 

“For those who believe, no proof is necessary. For those who don't believe, no proof is possible.”

[Stuart Chase]