I think I know what this is about.
First, it is not really an EDIT of the raster that is performed; it is probably just a change in the rendering (changing visualisation style in the raster properties).
For example moving from a "single-band grey" towards a "single-band pseudocolor" and thus obtaining a color visualisation. After doing so, you would like to SAVE your color result AS a new image where pixels have new values reflecting the pseudocolors you previously obtained. So at this point, if you right-click in your image in the layers panel, you will find a "save as" option displayed, suggesting that you could probably obtain your new image.
The problem (at least in QGIS 2.4) is that when you proceed to save your new image, no file is recorded... and I think this is the question about: why this "save as" option does not give any result?.