This message means that you are using the "Render Selected" feature, but you do not have any scene objects selected. In case of object ID - no objects with given ID; in case of include list - no objects added to the include list. In such cases, nothing will be rendered at all.
- In case of using Include/Exclude list, make sure some objects are added to the list
- In case of using Object ID mode, make sure there are some objects with given ID in your scene
- In case of using viewport selection mode, make sure you have desired object selected in viewport