The only reason I could think of this warning (which I have run across entirely too many times) was in case someone had a variable called 'exit'. Yet:

  >>> exit = True
  >>> exit
  True
  >>> exit()
  Traceback (most recent call last):
    File "<stdin>", line 1, in <module>
  TypeError: 'bool' object is not callable

The only way to then exit is Ctrl-D, but the shell will not prompt you to enter it!