You cannot stop the query from displaying even if there are no
records.

What you can do is .....
Create another form to display the results of the query (i.e. make the
query this new form's record source.
Set the Form's Default View property to Datasheet.
Records will be displayed the same as query datasheet view.

Code this form's Open Event:

If Me.RecordsetClone.RecordCount = 0 Then
  MsgBox "No records to display"  ' This is optional if you want
  Cancel = true  ' stops the form from opening
End if

Then instead of opening the query, open this form. You will need to
use error handling as the above cancelling of the form opening will
generate error 3021.

On Error GoTo Err_Handler
DoCmd.OpenForm "FormName"
Exit_Sub
    Exit Sub
Err_Handler:
    If Err = 3021 Then
    Else
      MsgBox "Error #: " & Err.Number & " " & Err.Description
    End If
    Resume Exit_Sub