Many reasons. Obviously there are concerning reasons like the program is known to be on probation. The ACGME website lists those programs (although it is not up to the minute), so that should be fairly easy to find out.
Programs may not fill because "word on the street" is that they are maligant, or having financial problems, are filled with FMGs (so AMGs don't apply), etc. Who knows if these are true or simply urban legend.
OTOH, programs may not fill because of administrative problems. Every year, some specialty or some program conventionally seen as competitive doesn't fill because someone:
a) forgot to turn in the program's Rank Order List (yes, it happened);
b) coded the program with the wrong number (yes, it happened);
c) because they got cocky and didn't rank enough people on their list (yes...);
d) because they would rather not fill than take an applicant they considered sub-par;
e) because there are more spots than applicants, so some programs will not fill;
f) they have applied to have one or more of the positions removed (ie, they don't need as many residents as they did formerly)
g) the program is intending to close (typically they don't accept applications when that is the case but it will show as not filling if they haven't closed out their NRMP status)
and so on.
How should an applicant use this information when considering the program? When should this be looked at as a red flag for a program???
Obviously when its because of first few reasons. If a program is on probation or in danger of losing their accredidation, they are required to tell all applicants. They must satisfy you with their plan to rectify things. Bear in mind that ACGME/RRC probation can often be for things done years ago or for administrative stuff (ie, residents not turning in their case logs on time or for paperwork not completed by the program - it does not necessarily mean the program education is bad).
If the word is that the program is unpleasant, you have to rely on rumors or word of mouth because often residents at those programs will not tell you. Checking former resident lists and seeing people quitting or leaving right and left would be a clue.
Administrative problems are going to happen anywhere so its not really a reason to avoid a program if that was the issue - presumably they will not make the same mistake twice!
Red flags would be consistently not filling in a field in which almost every program fills or is generally considered competitive. Red flags would be going to the interview and few residents show up - they are either too busy, too tired or don't care enough about their program to come meet the potential new residents.
Occasionally (as happened in my program) word gets out that there has been a change in program directors, or some other such change in leadership. Some see this as a sign of weakness or problems within the program. This is not always the case. Sometimes the old PD just wants to retire, or is made an offer he/she can't refuse, so someone else from inside the program takes over either temporarily or permanently. This has happened twice in my program in the past 2 years. When I scrambled here in '05 the program director had retired, and one of the attendings took over. She was then made a great offer somewhere else, and chose to take the job, so we now have another interim director until a new permanent one is hired. We just keep going along without much of a hitch.
As Kimberly stated it's the residents who make the program what it is. If they are not interested in promoting their own program then you have to wonder how good the environment is there. We can be very busy, and not have much time to spend with the interviewees, but at least some effort should be made to meet them.