This is not as much an error message as it is informing you, there is not data that matches your criteria. Don't know how you got to this "error message" but I get it constantly because I want to drill down into some data, looking for a certain MPD Phase, then a certain Region and see if there's anyone that matches those two criteria and Send Newsletter is "true". If this message comes back, I know that there are no contacts that are in a certain MPD Phase, live in that Regiona and receive my newsletter. It's informing me that my filter yields no results.
You can test this out easily. Take an MPD Phase you have no contacts in and filter it to show only that MPD Phase. You'll get the same "error message", which is why I call it more of an "informational message".