There are very few reasons that you will get a "No records were found" message in error.

The most likely reason is that the record is not, in fact, in the DMF. SSA reminds you that the DMF is not complete, so even if a person has died, their social security number may still not appear in the DMF. Other reasons you may get an incorrect "No records were found" message are that some of the information entered into the search fields was not input exactly as it appears in the database (i.e. a middle initial is missing, or you mis-typed the social security number). Try entering as little information as possible, such as just the social security number, or just the person's last name and zip code. Be sure you have typed everything correctly.