Dave Griffith explains:
Because IntelliJ IDEA has the ability to change so many files simultaneously in large refactoring actions, and change them without ever opening them, single file saves don't make very much sense. In recognition of this, IntelliJ IDEA reserves the right to save any of your files literally whenever it wishes. It's actually quite nice to never have to worry about your file's save statuses, once you get used to it.
"What if I don't like some changes I made, and want to roll them back?", I hear you say. Well, for that IntelliJ IDEA includes this amazing feature called the Local History. Every time it saves your files, IntelliJ IDEA actually saves a diff of your file from it's previous state, and saves that as well. You can see the entire edit history of your files (going back some number of days), see the changes you've made, and roll back any change. It rules triumphantly, and more than makes up for the temporary disorientation caused by lack of single-file save.
Instead of Save As... you should use Refactor | Copy.