As someone else put it well, it's a free market. The best way to know MY value in the market is to talk to other companies about openings and salary. So by coming to you, the manager, without doing that is to let you determine my market value without any other input. That's like the Ford dealer getting mad at me for going to other lots to find the best deal on a truck.

Relationships are important, sure, but you have to understand: management is not typically the friend of the worker, nor is HR.