There was a warning, but it was suppressed by this commit:

commit 44f602dd3b452bbacd3c85b1e5f9873c892b46e3
Author: Guido van Rossum <guido@python.org>
Date:   Fri Nov 22 15:56:29 2002 +0000

    Comment out the warnings about mktemp().  These are too annoying, and
    often unavoidable.

diff --git a/Lib/tempfile.py b/Lib/tempfile.py
index 97f125250b..0393ba5d30 100644
--- a/Lib/tempfile.py
+++ b/Lib/tempfile.py
@@ -324,9 +324,9 @@ def mktemp(suffix="", prefix=template, dir=None):
     the punch.
     """

-    from warnings import warn as _warn
-    _warn("mktemp is a potential security risk to your program",
-          RuntimeWarning, stacklevel=2)
+##    from warnings import warn as _warn
+##    _warn("mktemp is a potential security risk to your program",
+##          RuntimeWarning, stacklevel=2)

     if dir is None:
         dir = gettempdir()