Greg,...the reason is, you're trying to make a "Revolved Protrusion" where there is already material....you need to be making a "Revolved Cutout".
Design Manager Streetscape Limited
Solid Edge ST10 [MP0] Classic [x2 seats]
I guess the rotation axis or a line which you select is not correct ... since it is in brown color .. may be referance is missing ..
Greg, I can't see what your part looks like, what plane you created the cut on, or what way you were trying to rotate the cut, but that message means exactly what it says- that the cut you are making is not actually removing material from the part.
EDIT- Missed that you switched to revolved protrusion from revolved cutout. And that this was answered by Sean....seeing as how I did not even see Sean's answer until I got to this topic from a different link. Wonderful message board tricks.