I would imagine, unless someone has really cheaped out on your chain, that you have a sealed (O/X ring chain) as jab says.
The o-rings keep the factory grease in, and crap out. One train of thought that I've found online is that "over-cleaning", especially with harsh cleaners, might actually damage the O-rings and accelerate chain wear as the factory grease escapes. With a sealed chain, any "chain lube" is actually there to prevent rust forming on the faces of the plates and creeping up/damaging the O-rings, and to make it all look nice, rather than to actually lubricate anything.
On a non-sealed "standard" chain, the lube is also there to lubricate the moving parts, as there is no factory grease/seals. My 125 had a standard chain from the factory.