Just a WAG, but that statement would indicate that there was something wrong with the direct deposit information you provided. Maybe the bank routing number was wrong, or the account number was wrong. It could be that your bank has been bought by another bank, so the routing number you copied from your old checks doesn’t match the current routing number of the bank.
It may also be that the name on the bank account didn’t precisely match the name on your tax return (your checking account may say “NoCoolName,” but your tax return may say “NoCoolUserName”).
In short, the machine tried to use the direct deposit, but something didn’t match up, so it spit it out.