I've noticed that a many times while trying to sell short a stock I get this message. (I use Scottrade as my broker).
I think these stocks are being manipulated, for example, stocks like BSFT that are already selling at a very high P/E and then spike up even higher when there's some exciting "news".
The fact that there are no shares available for shorting seems to confirm my suspicion, it means that there's really few people holding the stock in their accounts, it is just being bought and sold, usually quickly, by large players who seem to operate outside the constraints of what regular investors can do.
If a stock spikes up very high, but no shares are available to short at that price, it means there is no real market for the stock at that price, the broker is essentially saying: "at this price no short selling, only suckers who want to buy!" Can anybody shed any light on this?