This can be for a number of reasons. Firstly, make sure your save is uncrushed. No game can read a crushed save. Instructions on how to do this are in the manual.

Secondly, make sure you transferred it to a memory card. The game won’t read it off a pen drive.

Thirdly, check you’re downloading the correct region of save for your game, eg. a European save for a European game. Saves cannot be used for games from outside their region.