When I played Twilight Princess every so often it would say connect the nunchuck when it was already in. It was not a problem with the Wii remote but a problem with the nunchuck. Try using a new nunchuck or if the Hartford are new than get new ones.
My game does that occasionally at startup, but it goes away after I wait a few seconds. If it lasts for a long time, I would try unplugging and replugging the nunchuk while that screen is still up, and blowing into both wiimote and nunchuck. If that doesn't work, well, try a new nunchuk (or just a different one if you have another).
Like they said, it could be loose or just dirty. If it's been tossed around a bit, it could also be damaged. At which point you'll just have to get a new one. It will always give you the "connect nunchuck" message at the beginning of the game. That's just a precautionary message.