Assuming you are trying to publish to Tableau Public, which doesn't support any live connections to other data sources, you have to extract you data using Tableau's built-in functionality to store the data with the workbook. But the message also says that you can't have Tableau extract from this type of data source.
Can you extract the data manually from your database into .csv or Excel? If yes, then you can get Tableau to connect to that, extract it and store it internally, and solve this problem.
Thank you for your answer.
Actualy, I have a Tableau Server. I created a book at Tableau Desktop and I want to publish it so Server, so this workbook will be available for all users who connect to Tableau Server via Web.
I'm missing something?
Then it looks like you are logged on to the Tableau Public server somehow. Try in Tableau Desktop:
Server -> Logout and then Server -> Login,
and login to your server.