I'm not sure why you would be experiencing this when you unlock the phone (by that, you just mean unlocking the screen/keyboard with the flick-switch or swipe-method, right?). Are you already connected with WiFi and/or cell network at the time? Also, if you put it into offline/flight mode, and do the same thing, does it prompt you to return to normal mode? I'm asking because that might shed some light on what's causing it. (If an app or service is manually forcing a (re)connection, then it would offer to leave flight mode in order to do so. If it's something else, maybe not.)