Update zmq_msg_init_data.txt

doc/zmq_msg_init_data.txt

@@ -31,6 +31,10 @@ _zmq_msg_ family of functions.
 CAUTION: The deallocation function 'ffn' needs to be thread-safe, since it
 will be called from an arbitrary thread.
 
+CAUTION: If the deallocation function is not provided, the allocated memory
+will not be freed, and this may cause a memory leak.
+
+
 CAUTION: The functions _zmq_msg_init()_, _zmq_msg_init_data()_ and
 _zmq_msg_init_size()_ are mutually exclusive. Never initialize the same
 'zmq_msg_t' twice.