How are you printing a document with no margin? What kind of printer is it? In the printing business this is called a full bleed, and the only way I am aware to achieve full bleed in Print work (where there is a transfer of medium to a substrate as opposed to a chemical change such as in silver halide "prints" or dye sublimation) is to use oversize paper and trim to fit; this is a very common feature in print work.
For any "normal" type of printer it's not practical to even think about printing to the actual edge of the paper, because of the precision that would be necessary to not print off the edge of the paper. That is, if you were even printing at only 300 dpi you would have to have everything within about .003"; including the width of the paper, the alignment of the paper, the indexing of the print-head, and the paper feed stepper motor; 1200 dpi would be less than .001". These things may be able to be overcome, but the average desktop printer will not have these abilities.
As others have mentioned, every printer will have its own set of restrictions, and send that data (via the printer driver) to the software, i.e. Word. The software will limit the margins you can specify based on the instructions it got from the printer driver. You can sometimes see this make changes by selecting a different printer with wider minimum margins. While in your case it appears to be the software dictating how close you can go to the edge, it is only obeying the printer driver.
True desktop publishing software such as Quark (I assume others as well) do not place such limitations on the user, as the software assumes the "professional" creator knows what they are doing. However, if you make the content go right to the edge of an 8-1/2 x 11 page, and print on 8-1/2 x 11 without any scaling, the edges of the content will be cut off at the physical limits of the printer.