To reproduce:

   $ emacs -Q --daemon
   $ emacsclient foo.txt

   M-x save-buffers-kill-emacs
   => This Emacs session has clients; exit anyway?

I think that's unnecessary. Since we're in the last (only) client, we 
can't accidentally kill other clients that we don't see right now (e.g. 
ones in an SSH connection); they don't exist! Couldn't we just proceed 
ahead without the prompt?

On the other hand, I think it *would* be useful to prompt if you're in 
the last client, but there are other non-client frames. This can happen 
if you start the main Emacs process without --daemon or if you use 
--no-wait. For example:

   $ emacs -Q --daemon
   $ emacsclient foo.txt
   $ emacsclient --no-wait -c bar.txt

   ;; From the first client:
   M-x save-buffers-kill-emacs
   => This Emacs session has clients; exit anyway?

This is ok, except the prompt could be clearer. The real issue is that 
the session has non-client frames that would get killed.

Attached is a patch to do this.