No...IMO, that's acceptable. Look at many major websites e.g Facebook, they do not have such conveniences for users. Sometimes conveniences only serve to distract you - they may even be unwanted. For example, most users expect that on logging out, all their unsaved user data is lost. Coming back to find data yet they had not been informed whether it was saved kinda becomes an inconvenience by itself. Although, it would be a disaster if email services did not have n auto-saving feature.
A simple way to solve this would be to have Ajax powered draft saving. Like Gmail, StackExchange network sites etc. But you have to give them a little notification that a draft is saved of course. Having a feature that enabled users to save messages when not logged in would be a major security that even script kiddies could exploit by themselves.
But its not very essential. Codingforums doesn't have this feature...yet its okay to me. But if your site is message based, it would not be overkill to have a draft feature.