When I try to log out of Stack Exchange, it asks if I want to log out of everything, including AskUbuntu, MathOverflow, and ServerFault. However, a quick glance at my profile says I don't even have an account on any of those sites. Why is Stack Exchange asking me to log out of sites I've never logged into?
It's a side effect of the Universal Login system. When you log in, you get logged in to everywhere* on the Stack Exchange network, including sites where you don't have an account. If you were to go to AskUbuntu, for example, you would still see your notification inbox and network reputation counter, even though you don't have an account on that site. Because of this, logging out logs you out of everywhere on the network at once.
*In theory. In practice, sites such as Stack Overflow that have their own domain names need special handling, and Universal Login doesn't always log in to them successfully. Universal Logout seems to work reliably.
When I try to log out of Stack Exchange
I put my money on that as the reason for your confusion. If you stay logged-in then you shouldn't be seeing this message.
Why would you want to leave us anyway?