I have never seen a 'NO SIG' message on my Sony DAB radio. When my DAB looses reception, it automatically changes back to the same FM radio station (if there is). You could try to enable this option in your menu.
Loosing reception is the most common problem, but it could also be a problem in your wiring (very unlikely), a problem with the tuner, or a broken amplifier (it is not an amplifier, but I don't now the right name) in the back of your car. This amplifier is a little green box on the right side behind the side trim. I've have never heard of a broken one, but it can always happen.