Even better? In the original Japanese the subject of that line is ambiguous, meaning it's telling you either to turn off the console, or turn yourself off - as in, the game is ordering you to commit suicide. Imagine getting that message late at night after playing for a while.
By the way, this isn't real, it's an Urban Legend of Zelda. But it's a testament to this game that anyone who's ever played it believes it immediately.
How do the games hammer your death into your head? When you hit 0 HP, the screen immediately turns black. Again, imagine this happening while playing at night, especially with the lights off.