Well, I'm sure there is a reason for it, though I can only guess what it might be or whether it might be something you have done, as your post really doesn't provide sufficient detail to tell what is happening (other than knowing that your database connectivity is the issue).
A couple of questions:
1) What application is your site running (WordPress, PhpBB, Joomla!, etc)
2) Has your site ever worked properly; is this a "new" error condition or has it been present since you instqalled the domain?
3) Did you install the application yourself, or did you use DH One-click installs?