The Z Lift Height will be used even when there are no supports.

There are many ways to reproduce this, the simplest would be to add support (let it lift), and then begin a rotation that would remove support (but don't necessarily rotate it) and the support will be gone, but the model will still be lifted.  You can then slice the model and it will try and print 5mm (or whatever your Z Lift Height is) of air before trying to print the model (which of course would have nothing to stick to)

See: