The rank of a matrix is the dimension of the image of the linear map it represent. Since the only vector space of dimension 0 is the vector space denoted 0 consisting of only one elements (namely, 0), to say that a matrix is of rank 0 is to say that the image of the linear map it represents is the vector space 0.
You can convince yourself that, in turn, this implies that the matrix is the matrix 0 (the matrix having 0 in all its entries...)