No it means that no one in the Klingon Empire is interested in such an alliance. Romulan wishes be damned.
The Klingons vie for territory. They want to expand and conquer. I get that.. things change though. They could see a potential in gaining Romulan allies if it benefitted them.. the Romulans could even potentially give them planets in the sorry state they're in right now in exchange for helping them take out their enemies.