Why do guards do this? I didn't steal anything! Bounty is always 5 gold btw...

They'll say it when your bounty is greater than 0 but less than the amount to stop you and arrest you. Don't talk to them when they say this or you'll end up in a conversation about paying the bounty. A bounty of that size is not worth their trouble, so you can normally use that conversation node to get out of paying for it.

Try stealing something and paying the fine. Cleared it for me in two out of three cases.

I get it a lot but only because I did steal something but no guard ever showed up to arrest me. As long as you keep moving after they say it though they seem to never bother trying to stop you. I had a 1 gold bounty for swiping a gold off a shopkeeper's counter on accident for the longest time and only paid it off because I got sick of every guard saying that over and over.

Also you can simply exit the conversation with the guard and run away, and if your bounty is low the guard will just say "Oh your bounty's pretty low anyways" or something and then leave you until next time