Sometimes it can help to take a look at what the giants are doing for tricky usability questions like this one.
- Google, Facebook, YouTube, and Twitter do nothing and give no message.
- Bing and Baidu take you back to the homepage and give no message.
- Yahoo takes you back to the search homepage and gives no message.
- Wikipedia takes you to the search results page with no results shown and gives no message.
- Amazon takes you back to the homepage if the "All" category is selected. If another category is selected, either the homepage for that category or a listing of all results in the category will be shown. In either case, there is no error message.
- LinkedIn lists all results.
What can we conclude? None of these sites give an error message. So, of the two options you provided, I would personally select showing all results.
You also have a third option, which is to do nothing. Giving zero feedback is very difficult to try to justify and should generally be avoided in most cases. Keep in mind that these sites are not in your domain, are all very popular and are mostly search-centric sites, so doing exactly what these sites do may not apply to yours.
However, an argument can be made for doing nothing:
- Showing all results might be confusing to users
- Lack of any change upon click could (maybe) be feedback in and of itself
- Leaving the page empty of any distractions may help the user focus on the search field and notice the mistake
- Precedent. We can safely assume almost all users have used one of the above websites before, and this is clearly common practice.