I was surprised when I saw this too, however it turns out to be a new undocumented feature in CC 2014 - The data is stored within the jpeg metadata, visible from the file info pane. Under the advanced tab, you can view the property tree, and all the contained datalumps. By extension of this, there is word that Adobe are planning to add in a similar feature for embedded colour profiles.
[E: 20-07-14] - After testing this, it appears that ruler guides can be embedded in an incredibly simple way. Rather than selecting "Save for Web" simply select "Save as" instead as your export method, and select jpeg from the format dropdown. If you close and reopen the file to check, gridlines will be automatically loaded from the jpeg.