What level of subscription are you currently on? The basic 'entry' level subscription only allows you to create one character per server for a maximum of eight characters. If you try creating another character on the same server your existing character is on, it will throw up that warning.

The only way around this is to either, delete your existing character to free up that server 'spot', or to upgrade your membership to the 'standard' level membership (which allows you to create up to 8 characters on the one server for a maximum 40 characters total - although why anyone would ever need that many characters I have no idea). You can upgrade your subscription in the Mogstation (be aware that the standard subscription is more expensive than the entry level subscription).