Why it appears: You've made a selection using a selection tool, but the wrong layer is selected (the selected area contains nothing on that layer) in the Layers palette.
How to fix it: Make sure the correct layer is active in the Layers palette.
How to prevent it from happening: Check to make sure you're on the correct layer before moving the selected area.
Why it appears: The amount of feathering (you input in the Options Bar or by choosing Select>Feather) is too high relative to the size of the selection, or you've attempted to make a selection with the Lasso tool (L) that is too small.
How to fix it: Deselect by pressing Command-D (PC: Control-D), choose a lower Feather amount, and then reselect with your selection tool; or if using the Lasso, deselect and make a larger selection.
How to prevent it from happening: Check the Feather amount in the Options Bar before you make the selection. (Note: Pixels are still selected in this scenario, you just cannot see the selection edges because of the feathering.)
Why it appears: You've attempted to make a selection using the Lasso tool (L) that is too small, or you used Select>Modify>Contract on a small selection.
How to fix it: Make a larger selection, or don't enter such a high Contract value.