Whenever I go into the thieves guild practice room they tell me "You're really not supposed to be in here". I finished the main guild quest line so I think I have a right to use the facilities. Is this a bug, or is there some reason they keep warning me off? They never go hostile like other trespasses, but they keep nagging me.

Likely one of many, many bugs. Hell, one of the followers tried to arrest for stealing.

Its a hang over from the earlier quests. I still have NPC's telling me "You have a nerve to be here after everything youve done", originating from the MQ with mercer.