It means she isn't feeling it. Most women don't know how 'chemistry' works. It's like
@LARaiders85 said. Whatever it is that is important to her when it comes to initial attraction, you don't have. When you first meet a chick you are being evaluated based on your looks, perceived place in society, and perceived wealth. They will never admit this, mostly because many women really don't know this about themselves.
If you don't have some combination of of these traits, at levels she is looking for, you do not have a chance. And the only way she knows you might, is that she is feeling butterflies.
As she dates you, she figures out what your social status is, and what your real wealth is, and if you don't hit the mark of what she needs... well she will move on if another man comes along that does.
DO NOT FIGHT THIS! If a chick tells you there is no chemistry, than just own it and walk away and forget about her. No amount of effort on your part is going to turn this around. I am honestly sick to death of seeing men busting their butts, while emptying their wallets trying to get a chick to change her mind. It's a waste of time because none of this has anything to do with rational decision making.
If a chick is not getting 'butterflies' right from the start, your chance of making anything work for any length of time is low. If you are just looking for casual dating... then you don't have to worry about this. But if the woman is just looking to casually date she isn't even going to bring this up.