Since you are posting in the ESX forum there could be two reasons for the message I can think of.
1.) You are using ESX (not ESXi)
With the Host Update Utility you can only upgrade to ESX 4.0. It does not offer patching ESX.
2.) You are talking about ESXi 4.1
The Host Update Utility is only supported on ESXi 4.0. To upgrade or patch ESXi 4.1 you need to use either the Update Manager (if you run vCenter Server) or the command line tool vihostupdate.
For a HowTo see: http://technodrone.blogspot.com/2010/07/updating-your-vmware-hypervisor-server.html
André