Word should say that ???
I guess it may be the case if the antivirus were a Word-plugin, addon or something like that.

avast! resident protection monitors the disk access directly - and whenever an application accesses an OLE document (no matter if it’s Word, Excel, or if you view the file file using FAR, TotalCommander, or any other utility) - it’s scanned (and if found infected, the access is denied).
So, Word doesn’t know that the file is scanned; it’s fully transparent for it. It would only find out if the document were infected; in this case, you’d probably get the error message “Cannot open document; access is denied” or something like that - avast! wouldn’t let Word open it.