The most common reasons for not being able to link an asset are:
You may be trying to link an asset that is a head asset (has other assets linked to it). Pinnacle will not allow you to link one head asset to another. If you need to link a head asset to another asset you will need to unlink all the assets that are linked to it so that the asset is no longer a head asset.
You may be trying to link to an asset that has been finalised. Pinnacle will not allow you to link assets to an asset that has been finalised.