Firstly, has this ever happened to me?
Well, Sea Cottage - my only fan fiction so far - received its first review after only the second chapter, from Yami Ryu, so I cannot say that it received zero reviews. There have, however, been times where it has not received a comment for a while.
Secondly, and more importantly, what causes the zero review case?
As a reviewer, I only read and review when:
1) The title of the fan fiction in question interests me.
2) I have the time to read a chapter or two.
3) I have the energy to read a chapter or two.
The chance of all three of these happening is not very high. I may only be one person, but if everyone who notices a fan fiction is not in the mood to read it - and a reviewer has to be in a somewhat decent mood to read a story - then it is perfectly possible for a story to go without any comments.
HOWEVER, this can be combatted by requests to members to read and leave a comment, whether a writer contacts someone from the Fic Reviewers thread or has built up enough friends to get some of them to agree to look over it. I got roughly five readers for my fan fiction because before I posted it I got to know some members who had an interest in reading.
My advice for those receiving no reviews: ask someone to read the story whenever they can, and leave comments. While a review can take up time and effort, it is still quite possible to get one from someone if you interest them with your title/plotline/sneak preview, etc.
If nobody replies to your requests, then consider slightly touching up the review-less chapters. Sometimes even just posting chapters through no reviews works. Eventually some random person begins reading the story and after that person gets to a certain point they are more comfortable commenting.
A classic example:
I have a friend who posts on both here and another forum, and received no reviews for his fantastic story after posting three chapters on Serebii.
So what did he do? He focused on his audience at the other forum, and has many faithful readers. If the writer in question receiving no reviews wants some, and only wants to post on one forum, then taking the initiative and seeking out some people who might review is a good idea. I personally would love to give every story on here a look, but I do not have the time or energy. If something is presented in front of my eyes, however, I will invest that time and energy sometime.
To sum up the wall of text above, writer's initiative is a good strategy. Another good strategy is for the writer to edit their first/second/third chapter until some readers have their interest caught.