You could create a Macro, such as NoData. In the first Action row, select MsgBox. Set the bottom parameters with your message.
In the second Action Row, select the CancelEvent.
Save the Macro.
Open your report in design view, select the Report (top left corner is a little grey square. Click in it and a black square should appear). Bring up the property sheet for the report. Click the Event tab, click the line next to On No Data. Click the dropdown arrow and select your Macro (NoData)