This issue will arise when you get pairwise asset correlations that are inconsistent. (The zeros are not necessarily the problem.)
For example, suppose you have the following data (possibly from different sources):
- Asset 1 and Asset 2 have a correlation coefficient of 0.9
- Asset 1 and Asset 3 have a correlation coefficient of 0.9
- Asset 2 and Asset 3 have a correlation coefficient of -0.3
Now, these can't all be true, because they are mutually contradictory. (Such a strong positive correlation between 1&2 and 1&3 means that 2&3 must be positively correlated.) Maybe the measurements were taken over different periods of time, or using different methodologies.
If you try to use that correlation matrix, you'll get the "must be symmetric positive semi-definite matrix" error. You need to figure out how to fix your correlation matrix.