Does anyone know what this message means?
AFAICT, it shouldn't be trying to transfer data when in one of the built-in swimming activity types. Are you using one of the built-in swimming activities, or is this a ConnectIQ app (not a data field)? You might check the settings (Settings > Phone > Smart Notifications or Alerts) to see if one of them avoids the popup. If they are annoying, you could consider disabling bluetooth during your activity.
This might be one of those places where Garmin could add an API that allowed an app to disable notifications temporarily. I haven't personally seen this before, but I use the built-in apps when in the pool.
Travis