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There are two possibilities. It could be that the organism of your gene is not included in the PANTHER pipeline <link to FAQ above>. The list of genomes that are included PANTHER and PhyloGenes can be found here <link>. Alternatively, even if the organism is included in PANTHER and PhyloGenes, not all genes of the genome are part of a gene family. Some genes don’t meet the criteria of being part of a gene family. Statistics covering the current release can be found here <link>.