Depends on where you obtained the replay from.
If you're trying to view the replay from the Global/Friend/Country rankings...
Replays are only saved on the servers for scores that are in the top 250 of the global rankings of that map, so if you're trying to view a replay from a friend whose score isn't in the top 250 of the global rankings of that map this might be the reason. Other than that sometimes scores that fail to submit right away don't have any replay data linked to them.
If it's locally exported by your friend and sent to you...
His score might not have any replay data saved for some reason.