I have found a similar thing with opening reports that contain drill-downs in Excel 2010. The error I get on opening is "File error: Data may have been lost." However, once that error is clicked past, the report opens fine with no apparent missing data. So far we've just been living with it, and have told users to ignore the error (it only affects a small number of reports). If someone knows the cause and a cure, I would also be interested in hearing it.