Troubleshoot no photons stored after emitting 10000 photons

This error message means that the photons emitted by the light source don’t hit any energy-storing object. The problem is one of the following:

objects in the path of photons don't have photon shaders in the materials or don’t have photon shaders that always absorb photons.
the receiving object has a strange shape as seen from the light source and mental ray for Maya is casting rays in places where they cannot be stored.
the photon emitting light source is emitting photons in the wrong direction.