It may happen for several reasons. If you are in such a situation, follow the solutions below to get rid of this issue.
1. Ensure the titles of wanted Spotify songs have been downloaded.
2. Make sure the SD card has at least 1 GB of free space.
3. Check whether the SD card is usable and can be set as the location of your Spotify downloads.
4. Restart the Spotify app.
5. Remove and reinsert the SD card to the device.