You should do a search on this as there are tons of threads on this subject.
But the short answer is that your "bulb out" indicator on your dash thinks it's sensing one or more of your exterior bulbs burnt out, when in fact you have a grounding problem.
What I have discovered at one time is that one of the bulb socket strips on one of the taillight housings had sent a fault to the indicator system. And yes, the headlight switch wasn't on, nor did I depress the brake pedal or hit the turn signal switch.
One of the metal rails in the taillight housing had loosened from vibration over time and wasn't making proper contact with ground. So even though the bulbs in that strip that were seated operated normally, it would still set off the dash indicator.
I took some needle-nosed pliers and crimped along the rail until I discovered where the ground breach was located. I did this near each of the bulb sockets. After I found which one set the dash light off, I crimped it down firmly to make sure it seated properly. No more light!
Note, it took months to even consider this solution, so I hope I saved you some diagnostic time...