It's intended but not optimal.
The indicator is only aware of what reviews exist, not which are available to you so if there are reviews you've completed or if you don't have access to all of the queues due to your reputation, you will see the indicator but not have anything to review (as far as I'm aware this hasn't been fixed yet). This is mentioned in Jon Ericson's discussion about improving this feature:
One final thing: you will be notified even when you cannot complete a review task (for anyone who can see the review queue - 500+ reputation). In particular, people who do not have enough reputation to handle items all the queues will be notified of items in queues they can't access. This is the next thing we are working to fix.
So, in your case, they could be tag wiki suggested edits that you need 5k to review or it could just be that the items in the queues are waiting on more votes from other users. At the time of posting, there are three items in the close vote queue on Worldbuilding and you've already reviewed all three of them.
Fortunately (?) the indicator is cleared for an hour after you click on it, so you'll get a bit of a reprieve.