Maybe you have solved this months ago but I encountered the effect today so I can answer for future visitors:
No error message is shown, gmon.out just does not get created (and the analysis text-file will be empty).
One reason why this might be is if you have no main method or in the case of -mwindows a WinMain. E.g. if you use the compiler arguments (gcc) -e or (vc) /entry or the gui-entrypoint WinMain() using (gcc) -mwindows__main.
I looked over the gprof manual but did not find info about how to settell it an alternate entry point so I just added a main() and call it from my other entry pointchanged the code.