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This usually means that your firewall settings are not compatible with the other players in that room. For example, if you don't have OPEN NAT on your router, you will be restricted to being connected only to certain other users playing the game with certain configurations.
To find this information, you'll have to search for "open NAT" along with the console system and version of it that you are using - those are things you hadn't mentioned in your original question, but easy enough to fine. Configure as closely to "open NAT" as you can to have the greatest number of options when it comes to competing online.