Locate the request from the Request tab and check the approval log. I bet it was already approved by another user - the approval setting for it must by by a group of members (no routing) and only one has to approve.
A common misconception among users is that the Admins can see everything on the User Window (the first window everyone sees when they log in). This is not true. Admins can see everything from the Admin window pop up only by selecting the "Admin" link after logging in. From the User Window, they have access just like anyone else in the system from Guest to Executive depending on settings so it's not true that you would see everthing there by default.
I can only think of 3 things that might happen in this instance:
1. The approval policy was satisfied by another user within the approval queue (approval by ANY member).
2. The request was deleted after you were notified but before you had clicked the link.
3. That the admin profile was modified in a way that limits access to
project requests - so you were added as a reviewer to the request (thus
the notification) but your permission doesn't allow access.
Given #1, we can't take back the notification once it's out there. A better message might be "Approval request has been answered by another user" instead of our more generic "insufficient permissions" message.