diff --git a/pandas/core/panel.py b/pandas/core/panel.py
index 1e6ed56386f63..5aa6aef150035 100644
--- a/pandas/core/panel.py
+++ b/pandas/core/panel.py
@@ -8,6 +8,7 @@
 from pandas import compat
 import sys
 import numpy as np
+import warnings
 from pandas.core.common import (PandasError, _try_sort, _default_index,
                                 _infer_dtype_from_scalar, notnull)
 from pandas.core.categorical import Categorical
@@ -858,6 +859,11 @@ def to_frame(self, filter_observations=True):
             mask = com.notnull(self.values).all(axis=0)
             # size = mask.sum()
             selector = mask.ravel()
+            if not selector.all():
+                warnings.warn("Panel to_frame method discards entries with "
+                              "NaN/None in the data by default, use "
+                              "filter_observations = False to save them",
+                              UserWarning)
         else:
             # size = N * K
             selector = slice(None, None)
diff --git a/pandas/tests/test_panel.py b/pandas/tests/test_panel.py
index fb1f1c1693fdd..405545117deb4 100644
--- a/pandas/tests/test_panel.py
+++ b/pandas/tests/test_panel.py
@@ -1496,7 +1496,11 @@ def test_to_frame_multi_major(self):
         assert_frame_equal(result, expected)
 
         wp.iloc[0, 0].iloc[0] = np.nan  # BUG on setting. GH #5773
-        result = wp.to_frame()
+
+        with tm.assert_produces_warning(UserWarning):
+            setattr(panelm, '__warningregistry__', {}) 
+            result = wp.to_frame()
+
         assert_frame_equal(result, expected[1:])
 
         idx = MultiIndex.from_tuples([(1, 'two'), (1, 'one'), (2, 'one'),