Make sure AE and PPro have compatible build numbers. Dynamic link for CC 2014 in AE will not work if you are running Premiere Pro CC.
Make sure both apps are up to date. If that doesn't fix the problem we need workflow, system and version details down to the last decimal point.
I m running CC 2015 on both apps.
Premiere is 9.2 and After Effects is 18.104.22.1687.
My workflow is to highlight a group of clips, right click on them, go to "Replace with After Effects Composition" I already have an AE project I want to use open, so it opens a new comp in AE, however at that point the comp is blank with no clips. Then back in Premiere the error comes up.
You are not up to date with your apps. Update. AE's current build is 22.214.171.124
Premiere Pro is 9.2.0 (41) so I don't know if yours is up to date, but it may be
Open your Creative Cloud app and run the updates. There are a bunch of bugs in the build of AE you are running including known problems with Dynamic Link. If that does not fix your problem we need a more detailed workflow explanation including the type of footage you are using. If toucan't get it to work with a standard production format video and right clicking on the clip and selecting Replace With After Effects Composition then there is either a problem with your system or a problem with the format of the footage.