Here is the answer from the official Mailman documentation:
It means that the address for the list was not found in the To: or CC: headers.
Typically this is due to one of a couple reasons:
1) Your list has a different domain name (FQDN) than you think it does, or than was used as the target address of the message. See the second to last entry on the main list configuration page to ensure that you have this set properly.
2) The message was BCC'ed (blind carbon copied) to the list, and was actually not addressed to the list directly (not that you can see).
Alternatively, if you want to accept all BCCs to the list and get rid of this message entirely, go to Privacy Options / Recipient Filters and set the require_explicit_destination option to be "No". This should be the first option on the page, and by default, Mailman will set this option to be "Yes".