User is trying to run a report for a specific project, but can't do so because that project is not available in the list.
This can happen if the project status is something other than Active. Such projects do not appear in the drop-down lists by default and so cannot be selected. However, you can choose to show such projects in the drop-downs by checking that option under Filter Dropdowns in User Settings > Display Options. Then you can run the report; filtering by the project which is now visible in the filter drop-down.