Even if you format the disk it will retain data stored on it from previous formats, when you format the disk it wont overwrite every byte the disk can store, it will simply recreate a new partition tabling schema for the partition thus there would still be data on the disk to obtain just not readily accessible. This is why it is possible to "undelete" files.
There are a few obvious reasons that spring to mind why it would report this.
a) The disk has been zeroed (every byte reset to 0). This is a form of "securely*" wiping a disk so the entire data on it has been destroyed . (I.E dd if=/dev/zero of=/dev/sdf)
b) The device has a controller fault which causes it to report all bytes as 00 even if the storage device contains actual data.
c) It is a brand new device and the manufacturer formatted and zeroed it before release.
d) There is a bug in your distro.
A and D are not likely. Its more secure to wipe a disk using random data - a number of times - if you want to software destroy a disk.
B and C are likely culprits.
To test B you could just try adding data to the first 512 bytes of the disk (do a grub-install /dev/sdf), unplugging it and replugging it to see if the data remains intact when you check it.
Doing this risks compromising any data that might of been on it or any partition table that could of been recovered through it.
In any case if your getting zeroes when you plug it in, you cant recover any data off of it as there is no data to recover.
If you really needed the data that badly you would have to purchase the same model device again, and physically remove the storage chip from the faulty device and place it in a new device. That is of course assuming the fault lies on the storage controller.
Do you have a soldering iron handy at all?