A quick method is to edit the settings.php file, and add the following code:
$conf['locale_custom_strings_en'][''] = array(
'There is currently no content classified with this term.' => '',
);
The settings.php file should already contains the code to populate the $conf['locale_custom_strings_en']
array at the bottom, but it should be commented out.
An alternative is to use the String Overrides module.
I would use the first method if you only need to modify one string, or few other strings. The pros are that you don't need to install another module, and only people who can alter the file on the site can alter the default strings. The cons are that it works only for English, and that is not possible to delegate the task (as requires access to the files on the web server).
In the other cases, including the case you are not comfortable with altering files on the server (or you cannot do it for many reasons), I would use the module. The module also works for other languages, as reported in the project page.
Locale support, allowing you to override strings in any language