You are trying to use the Add Database Item command on the Project menu to create a database object type that the database you're trying to add the object to doesn't support. For example, you may be trying to add a synonym to a SQL Server database.
Note that this only occurs if you're not yet connected to the database. If you were connected, the Add Database Item list would only enable the commands appropriate to your database.
-or-
Create a database object supported by the database.
For more information, see Managing Databases in Data View.