A hacky plugin to display "No results found" message on selectize. Don't use this along with "dropdown_header" plugin though.

selectize_no_results.js

/*
    https://github.com/brianreavis/selectize.js/issues/470
    Selectize doesn't display anything to let the user know there are no results.
    This is a temporary patch to display a no results option when there are no
    options to select for the user.
*/

Selectize.define( 'no_results', function( options ) {
    var self = this;

    options = $.extend({
        message: 'No results found.',

        html: function(data) {
            return (
                '<div class="selectize-dropdown ' + data.classNames + ' dropdown-empty-message">' +
                    '<div class="selectize-dropdown-content"><div>' + data.message + '</div></div>' +
                '</div>'
            );
        }
    }, options );

    self.displayEmptyResultsMessage = function () {
        this.$empty_results_container.css( 'top', this.$control.outerHeight(), width: this.$control.outerWidth() );
        this.$empty_results_container.show();
        this.$control.addClass("dropdown-active");
    };

    self.refreshOptions = (function () {
        var original = self.refreshOptions;

        return function () {
            original.apply( self, arguments );
            this.hasOptions ? this.$empty_results_container.hide() :
                this.displayEmptyResultsMessage();
        }
    })();

    self.onKeyDown = (function () {
        var original = self.onKeyDown;

        return function ( e ) {
            original.apply( self, arguments );
            if ( e.keyCode === 27 ) {
                this.$empty_results_container.hide();
            }
        }
    })();

    self.onBlur = (function () {
        var original = self.onBlur;

        return function () {
            original.apply( self, arguments );
            this.$empty_results_container.hide();
            this.$control.removeClass("dropdown-active");
        };
    })();

    self.setup = (function() {
        var original = self.setup;
        return function() {
            original.apply(self, arguments);
            self.$empty_results_container = $( options.html( $.extend( {
                classNames: self.$input.attr( 'class' ) }, options ) ) );
            self.$empty_results_container.insertBefore( self.$dropdown );
            self.$empty_results_container.hide();
        };
    })();
});

Modified to apply the same styling to the "no results" option as is given to the normal options.

Also sets the "dropdown-active" class properly when showing no results, as the dropdown is open at this time and certain style needs to be applied for consistency.

FWIW - this worked great for me, but I had to make a syntax change. Running in Chrome I got a function definition error for "displayEmptyResultsMessage()". It didn't like the comma-separated params list.
I fixed this by running the offending line in two lines, jQuery style:

self.displayEmptyResultsMessage = function () {
this.$empty_results_container.css( 'top', this.$control.outerHeight() );
this.$empty_results_container.css('width', this.$control.outerWidth() );
this.$empty_results_container.show();
this.$control.addClass("dropdown-active");
};

Thanks!