Saving a modified file on a sshfs mount (-o allow_other) results in "Error saving file.\nError renaming temporary file: Operation not permitted\n\nThe file on disk may now be truncated!". Writing a new file works fine. It might be caused by some restrictions on the remote system. However, gedit doesn't show any problems.
geany 0.21 (built on Dec 24 2011 with GTK 2.24.7, GLib 2.28.8)
If you have the preferences->various->use_atomic_file_saving set try with it unset. When set it tries to write to a temporary and then do a rename which is your symptom.
Also do not use_gio_unsafe_file_saving on networked systems since a Glib bug means that a network glitch can lose your file.
Same problem for me, even though "use_atomic_file_saving" is NOT checked. This is with Geany 0.21 on Ubuntu 12.04 LTS.
Using version 1.23 from the Ubuntu PPA, and UNchecking both "use_atomic_file_saving" and "use_gio_unsafe_file_saving", it now seems to work.
Since it can't tell the type of remote filesystem over sshfs gio saving might also try the rename trick. See http://wiki.geany.org/config/all_you_never_wanted_to_know_about_file_saving for a detailed description of the options.