That just means that the device you are trying to make the changes on can't do it. It may well have been restricted by the manufacturer.
Now while you wouldn't then be able to move apps to the card, you can still free up space by moving things like photos, videos, music, etc. This can be done either through a file manager app (the phone may have one already, or you may need to install one). However, they tend to have limitations of how many files they can move at a time. A way around that is to connect the phone to a computer via USB cord, (with the card still in the phone) and move the files you want from the phone to an empty folder on the computer. Then, once on the computer, you can move or copy them over to the SD card via that same USB cord connection. Doing it this way allows you to move large amounts of files all at the same time. It gives you the opportunity to back up those files to a computer.
Once that is all done, not matter which way you do it, you would then need to make some changes in the "Settings" of specific apps. Like say the "Camera" for example. If you wanted it to save all future photos taken to the SD card, you would have to change that apps "Settings" to save to the card rather than to the phone. The same would be done in all apps that you are getting or creating new files through.