Is the last line terminated with a carriage return / newline? eg.

This,is,my,last,line<EOF>

or

This,is,my,last,line

<EOF>

Note the <EOF> is not the actual characters, just indicating where the file ends

In your text editor page down to the end of the text file, if the cursor remains on the last line of data then go to the end of the line and press return. It may not stop the warning, but it will mean that you load all the data.

Assuming that you are using the import data task from SSMS, you will notice that the column delimiter for the last column is likely to be {CR}{LF}