In some cases, the data may be deficient because the animal didn't exist. This is a common concern with extinct species, described from a handful of fossil bone or even from footprints: one-third of dinosaurs may be mistakes. But there are modern questions, too.
The mystery bear Vetularctos inopinatus, collected in Canada in 1864, was one of the more spectacular errors: the type specimen, it turned out, was just another grizzly. Africa's pygmy elephant seems to have been a mistake, and almost everyone has written off the pygmy gorilla (Gorilla mayema) as erroneous. De Loys' ape, a paradigm-shaking species (given that there are no confirmed New World apes) allegedly shot in Venezuela in 1920, was a flat-out hoax involving an unfortunate spider monkey.
The great (it's a law, writers have to describe him that way) John James Audubon described Washington's Eagle as a separate species, larger than the bald eagle. It's now generally thought to have been based on an unusually large bald eagle (it doesn't help that the type specimen, collected by the man himself in 1814, has disappeared). So Falco washingtonii doesn't get a Red List spot at all. Audubon also described Townsend's finch, a bird never confirmed but still debated, and four other mystery species. Cox's sandpiper, from Australia, is either elusive, extinct, or a hybrid of other species. The dusky seaside sparrow, famous for meeting its end in an enclosure at Disney World, was real but apparently not a species: any creature downgraded to a subspecies just don't get the same respect.
There are others, as this article describes. Is the Liberian greenbul the world's rarest songbird, or a mistake based on an odd-colored specimen of the icterine greenbul? (The Red List classifies this bird, Phyllastrephus leucolepis as, you guessed it, Data Deficient.) The extinct Hunter Island penguin was, in a sense, always extinct, since it turns out not to have existed. The kouprey, Bos sauveli, the largest new land mammal of the 20th century, is listed by the IUCN as Critically Endangered but may be a mistake involving wild cattle with a characteristic appearance.
DNA analysis of type specimens is helping to sort out such creatures, but it's a slow process. It doesn't help when some type specimens go missing, or the animal is a possible hybrid. Taxonomy, even of the vertebrates, is not yet a finished domain of knowledge.
Thanks to Dr. Karl Shuker for posting the original article that got me thinking on this.
Audubon's painting of his great eagle