I've noticed it several months ago by going through my server logs - hadn't included 'favicon.ico' in the HTML and yet, the browser - Chrom(e|ium) - tried downloading it every time.
Most browsers have been doing that since favicons have existed. Older versions of IE used to check for /favicon.ico no matter what, even if you specify a different URL with a <link> tag. You really have no choice but to make the file available at the URL even today.