On machines which are set up to have no local mail and send all their messages to a smarthost, using e.g. exim4, the “No mail.” message at login is both unnecessary and annoying, because when things are set up correctly, there should never be any local mail in the first place.
This can be remedied by editing /etc/pam.d/ssh (or whichever file corresponds to the login method you’re using) and taking a look at the two following lines:
# Print the status of the user's mailbox upon successful login. session optional pam_mail.so standard noenv # 
It’s time to comment something out 🙂