Putting a "database=some_db" (where some_db is a valid database) under the [client] section of ~/.my.cnf (or any other config files parsed by mysqldump) will result on this warning on the execution of mysqldump, even if a database (or several) are specified for the dump :
The same happens when running "mysqldump --databases some_db"
The error message is confusing as the specified database name is valid.
The upstream bug (http://bugs.mysql.com/bug.php?id=18209) has been reported almost a decade ago and a patch that added the specific option "database" to mysqldump has been provided on the bug report but never made it to the main tree : http://lists.mysql.com/commits/6311
Another solution would be to make simply that mysqldump doesnt read the database parameter from the config file which would be safe as it should have never worked before.