Ego, Mike, Bosch -
I'm not at my Photoshop computer to check this, but I'm quite sure that you can make a standard geometric selection (ie, using any of the marquee or lasso tools) with any layer selected or unselected and you won't get that error unless you have set the feathering to be of the same size as the selection or larger.
If you are using a method of selection that depends on the content of the pixel (ie, pixel brightness, color range, etc.), then you can get that error if there are no pixels close to meeting the criterion that you set (eg, selection opacity proportional to pixel brightness). However, if I remember correctly, even in this case, it still doesn't matter what layer you happen to have selected or which layers you happened to have turned on at the time of selection, as long as you (and the selection tool) can see a relevant image at the top of the layer stack.
T