Eclipse and MyEclipse create new Java files with an extra blank line after the last closing brace by default. I think CodeWarrior did the same thing a few years back, and that some people leave such blank lines in their code either by intention or laziness. So, this seems to be at least a moderately widespread behavior.
As a former human language editor — copy editing newspapers, mostly — I find that those lines look like sloppiness or accidents, and I can’t think of a reason to leave them in source files. I know they don’t affect compilation in C-style languages, including Java. Are there benefits to having those lines, and if so, what are they?
It is historical, relating to common bugs in command line utilities for text processing. There are many programs on a Unix system for processing text, and most of them work on a line by line basis. There may or may not be any common command line tools that misbehave when the last line does not end in a newline, but the phenomenon is historically common enough that other tools started warning about the situation.
Last I checked vim is actually incapable of saving a file that does not end in a newline, going so far as to add one whether you put it there or not.