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This can affect metadata based facets and is unlikely to be a problem in recent versions of Funnelback.
For metadata based faceted navigation to work correctly, the metadata field needs to be both correctly mapped within Funnelback, and indexed with field boundaries.
In older versions of Funnelback this was a setting that had to manually be set as an indexer option.
Recent versions of Funnelback set this automatically and indexing with field boundaries was made a default in Funnelback v14.2.
If you are working with checkbox facets then it is possible to select combinations of facets that do not return any results. This is a limitation of how checkbox faceting works.
For normal (single-select) facets, if a set of results is returned with faceted navigation containing counts, and nothing is returned when clicking on a facet then check to see if the indexer option -ifb is set.
This is set in collection.cfg (indexer_options) or via the indexer options field on the index tab of the edit collection settings screen in the administration interface.
Setting -ifb causes all categories to be indexed with special quotes so that exact matching of fielded data can occur. Faceted navigation relies on this and won't work if -ifb is not set.