First make sure that you have a pixel layer selected that contains pixel content.
Another thing to check:
If there is feathering on the tool, remove the feathering before making the selection. Two places to check for feathering; the Options bar and Select > Feather.
Also, make sure that the active layer has pixels on it and that it is not an empty layer.
If the layer has pixels on it, make sure that you are selecting an area on the layer that has pixels and not an empty area on that layer.