u can write some thing like...
If exists
(
select distinct isnull(a.mstr_shrt_nm_id,'No Entites') as Entities
FROM RCMglbl..nav_nt a, RCMglbl..enty_mstr b
WHERE a.enty_id = b.id
AND office = 'sf'
AND mnth_end_dt = (select lst_mo_end_dt from RCMglbl..proc_dt)
AND mnth_end_dt is not NULL
AND acct_close_dt = (select cur_proc_dt from RCMglbl..proc_dt)
)
select distinct isnull(a.mstr_shrt_nm_id,'No Entites') as Entities
FROM RCMglbl..nav_nt a, RCMglbl..enty_mstr b
WHERE a.enty_id = b.id
AND office = 'sf'
AND mnth_end_dt = (select lst_mo_end_dt from RCMglbl..proc_dt)
AND mnth_end_dt is not NULL
AND acct_close_dt = (select cur_proc_dt from RCMglbl..proc_dt)
Else
Select 'No Entities' [Entities]
or
if
(
select Count(distinct isnull(a.mstr_shrt_nm_id,'No Entites'))
FROM RCMglbl..nav_nt a, RCMglbl..enty_mstr b
WHERE a.enty_id = b.id
AND office = 'sf'
AND mnth_end_dt = (select lst_mo_end_dt from RCMglbl..proc_dt)
AND mnth_end_dt is not NULL
AND acct_close_dt = (select cur_proc_dt from RCMglbl..proc_dt)
) <> 0
select distinct isnull(a.mstr_shrt_nm_id,'No Entites') as Entities
FROM RCMglbl..nav_nt a, RCMglbl..enty_mstr b
WHERE a.enty_id = b.id
AND office = 'sf'
AND mnth_end_dt = (select lst_mo_end_dt from RCMglbl..proc_dt)
AND mnth_end_dt is not NULL
AND acct_close_dt = (select cur_proc_dt from RCMglbl..proc_dt)
Else
Select 'No Entities' [Entities]
if you are expecting only one value as output u can assign it to a variable and check...