Funnily enough I'm at this very moment playing with an HC-06 (for a project at work), I've just tried connecting and disconnecting my phone from it, and there's no spurious messages here at all.
I've just got the HC-06 wired to an FTDI serial/USB module, and using Termite on my PC as the comms program. In the actual application it will connect to a PIC16F18426, as an external plug-in unit, instead of a plug-in FTDI USB lead (to give the option of using either a laptop via USB, or a phone via BT.