Gateway while using azure analysis services

Hi,

I connect to my Azure Analysis Services cube with Power BI Desktop. When I finish building my report, I save the report locally but also publish it to the Power BI Service. Once I do this it a dialog box pops up with the text "Publishing succeeded. The published report has been configured to use an enterprise gateway". 

Since my data is in the cloud, I don't want - and it is not necessary - to use a gateway. What am I doing wrong, and how can I resolve this issue?

Thanks in advance!

Maurice