When I try to sell something the game warns me "Sell Last Item" "Are you sure you want to sell your last Titanium Horn?" Y/N
Is there a game mechanic I'm missing and the game is trying to alert me of it?
There are a few reasons to keep items in your inventory, but there's no hidden mechanic or reason to keep items that you are truly done with. Reasons to keep items are:
So if you are collecting achievements, keep as many as you can and then feel free to sell away. To max your character and maximize the value at sale, keep items until mastered and then you can sell them. Do not sell the Infinity Blade even once mastered.