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This occurs rarely, but when it does, it means the ROBLOX Client failed to connect to the server. Check your antivirus program (If you have one) and see if it is blocking access to the game. It can also be your router or modem. Check your Firewall too. Best bet is continue to try to connect to the game. You will evenutally join a server

Roblox explained it as

"The game is loading on the server while you are trying to connect. Wait a second before trying again

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