Hi,
In ArcMap right click the source rasters in the table of contents , select Properties > Source tab > scroll down to check the spatial reference details, most likely it seems like the source rasters do not have a spatial reference defined. If this is not defined it is okay but check the extent information, if the rasters have valid extents then you could define a spatial reference for your mosaic dataset and add the rasters to them. If the extents for the source rasters are messed up then you may have to georeference your source rasters before you add them to your mosaic dataset.
Also, make sure you use the UNC path (\\computername\folder\rastername) to reference your source rasters when adding your rasters to the mosaic dataset and also make sure you have read permissions on the folder that contains the source rasters. Also define and build overviews after creating your mosaic dataset.
-Gayu