Assuming this continues from here:
http://forums.zotero.org/discussion/25868/inserting-citations/#Item_4

What that message means is that there are items cited in that Word document that aren't in your library. Typically this is due to one of four reasons:

1. You didn't write the document yourself or you wrote it with a different Zotero library.
2. You're writing on a different computer and the two libraries aren't synced
3. You deleted at least one item that's cited in the document - note that this could have been a duplicate item.
4. You exported and imported your library

Zotero suggest that you replace the selected item - have you tried that?

But the document was written before September? That explains it then. The old references that you use in that library aren't in your new Zotero library. You'll need to add them to the library again and replace them in the Zotero document. There is, unfortunately, no other/easier way to do that.

the citation is selected when the message comes up.