This is usually down to a number of reasons:
1)Sensor is connected to something that is applying a voltage to the probe, that is injecting a voltage into the logger that is above the Common Mode Range of the device.
2)You are using a laptop that is connected to the power supply, this could be because of a ground looping problem.
Things to try out:
If you are using a laptop try disconnecting the power supply and leave it floating.
If not then the thermocouple will need to be connected differently. How are you measuring your signal and what kind of probe are you using, i.e. the tip of the probe?