Go to JoomlaRoot -> modules -> mod_jem -> tmpl and edit default.php
at line 15 you see: "<?php if (count($items)): ?>" which is closed at line 45.
so add the following before line 45:
<?php else : ?>
<?php echo JText::_('COM_JEM_NO_EVENTS'); ?>
I recommend to use template overrides to change this. Otherwhise, after an update your changes would be removed.
Go to JoomlaRoot -> templates -> yourTemplateName -> html -> mod_jem, if some folders do not exist, create them.
Copy the default.php with your changes to the created folder.