This happens if the save file region doesn't match your game. Double-check if your game ID (e.g., SLUS-21059 for US) matches the ID of the save file.
Using a 100% complete save file is the fastest way to get straight to the action. Here is everything you need to know about finding and installing a Tekken 5 unlock file. Why Use a Save File for Tekken 5? Tekken 5 Pcsx2 Unlock All Characters Save File
Ensure you are loading from the Memory Card in the game menu and not accidentally loading an old Save State . Save states (F1/F3) capture a specific moment in time and will overwrite any new memory card data you've added. Conclusion This happens if the save file region doesn't match your game