Keith,
Are you using BEx query in your report? If yes, do you get data when you run this BEx query in BEx Analyzer directly bypassing Webi?
If it is not giving data in BEx Analyzer then you will definitely get "No data to fetch" message on Webi.
Are you using BEx query directly or creating universe (UNV) over BEx query?
If not ,are you creating UNX file over DSOs in BW?
If yes and in case you are expecting NO data and want to suppress this message, you may try below blog written by me:
How to suppress "no data to fetch" warning message?
I would like to tell you that "No data to fetch" is NOT an error but warning message. It comes when no result set is received from back end.
Regards,
Yuvraj