This can happen if the batteries are inserted whilst the door is open, if the door is locked, or before the lock is mounted properly. When prompted by the app, you need to close the door, keep the door unlocked and then install the batteries. If the door is not closed and unlocked, your lock might not test and calibrate itself to your door properly. To resolve this, you'll need factory reset the lock and try setup again.
Detailed instructions:
Nest × Yale Lock installation and setup - Google Nest Help
