Whether your SEPM is installed very recently?
If yes it may take time to download it's first updates.Until it finishes that updates it will give this message.
Login to SEPM
Click Admin
Click Server --->Local site
click on download liveupdate content--->download
It will download the updates.Wait until it finishes
Or
You can manually download jdb file and update SEPM
Refer this kb article
How to update definitions for Symantec Endpoint Protection Manager using the .jdb file.
http://service1.symantec.com/SUPPORT/ent-security.nsf/docid/2007100820002048