This message appears when there are too many nonzero entries in the sparse-matrix representation of the inverse of the basis matrix (used to find feasible solutions to the constraints).  Although the problem may be within the limits of variables and constraints supported by the Large-Scale GRG Solver, the density of the matrix entries is too great for the this Solver to handle.  If you receive this message or the corresponding result code, try the Large-Scale SQP Solver or Knitro Solver, which can usually handle much larger problems than the Large-Scale GRG Solver.