This is often the case if you are trying to follow wireless connection instructions, but you have a Wired Ignite Thermostat.
Please double check that you are following the correct instructions.
How do I check which type of Thermostat I have?
If you press and hold the 'CH MODE' and 'ADV HW' keys on the Room Thermostat for 3 seconds.
If nothing happens, then you likely have a Wired Thermostat.
If C1 is displayed, then you have a Wireless Thermostat.