Joomla's normal behaviour for any resource that a user doesn't have viewing permissions for is to display a message. e.g. this is the default message in Joomla 2.5 in the default template:

and this a Joomla 3.2 example:

If you're seeing a page with nothing in the content area then (as @Elin suggests) it's likely that your template doesn't have a message block. Specifically your looking for a line like this in you templates index.php code:
<jdoc:include type="message" />
When Joomla renders the page it replaces this jdoc tag with any system messages such as the not authorised one.
If you don't like the wording of the message you can over-ride the language key JERROR_ALERTNOAUTHOR using the Extensions->Language Manager->Language Overrides feature, just remember to select "Site" before creating a new over-ride as this is a front-end message.