It would be useful to have either your code (if it’s simple), or a minimal example to help understand why you get this message.  Just some background, if I remember correctly, the actual model parameters must be stored on the default GPU (id=0), though calculations are carried out in parallel.
A guess I can provide now is this: when loading a parallelized checkpoint, you must initialize the model including any .cuda() calls before loading the checkpoint.  It might be you’ve done this after.
A scheme like this should work:
model = SomeModel()
model = nn.DataParallel( model ).cuda()
model.load_state_dict(checkpoint)