This usually means that you haven’t enabled the Content Type for the Data Connections library, or wherever you want to store your Data Connections.
To do this:
- In SharePoint, go to ‘Library Tools’ for the Data Connections library
- Go to Library Settings
- About half way down, go to ‘Add from Existing Site content types’
- Look for ‘BI Semantic Model Connection’ and add it to the list of available Content Types
- When you return back to the ‘Settings’ page, you should now see the option available for BI Semantic Model Connection.
Here are some handy Books Online links, in case they help you to create the Connection file:
I hope that helps to save someone some time!