There are some similar issues reported
http://bugs.xdebug.org/view.php?id=900
https://bugs.php.net/bug.php?id=60778
One way to get rid of this messages is to add
unset($stmt);
after closing the statement and before the breakpoint. If this does not help, you should also add
unset($connection);
after closing the connection as mentioned by @Martin in the comments.
This does not solve the problem itself, but let you go on with your work until this may be fixed some time.
EDIT: Now there is also a reported issue 🙂
EDIT: This seems to be a bug in the MySQLi driver as reported here.
EDIT: Looks like this bug does not appear if you use PDO. So this is maybe an other reason to switch to PDO.