This would happen if following is true:
- A Library redirected to a network location
- Offline Files are not enabled for this Library on the client side.
- Windows Search is not running on the server side
If you can't fix above issues you can get rid of this message by disabling Library features which depends file indexing. This is done via group policy:
User Configuration > Policies > Administrative Templates > Windows Components > Windows Explorer > Turn off Windows Libraries features that rely on indexed file data
Set this policy to Enabled.