When I am trying to download my changeset in JOSM and after zooming to data in the current layer, it is showing there is no object in the data layer.
You need to download at least some of the objects that were modified in the changeset first. Otherwise, using the button to select these modified objects will result in the error message you quoted.
To download the objects modified in the changeset, you can use the appropriate download button. (You can find it on the left-hand side of the upper half of the Changeset Management window, or in the right click context menu of the changeset.)
Sources: I've had a quick look at the JOSM source code file which contains this error string, and managed to produce the error message in JOSM myself.