In addition to the above answer, let me give you a real one. It means they now think you are either crazy or a drug seeker. You will have a long road ahead of you, switching doctors all the time, until one of them has a flash of genius and decides to actually investigate rather than following a step by step outline in a medical journal.
The MRI scan shows the structure of your shoulder muscles, bones, tendon, ligaments, cartilages and nerves. However the MRI will not show the 'source' of pain. There are some things which can only be shown by physical exam rather than the shoulder MRI. A shoulder structure may be very well evaluated by the MRI, but there are many structural problems also that are not revealed through the MRI. When nothing shows up on the MRI, one may have to consider some other muscles that act upon the shoulder, like for instance, the pectoralis minor, through which the neurovascular bundle passes. Sometimes, trigger point treatments or acupuncture can be of good amount of help, when MRI does not work. Magnetic Resonance Imaging (MRI) scan cannot also show the extent of calcium in the bone. That means diseases which are associated with osteoporosis and tissue calcification cannot be detected through the shoulder MRI.