I can't find a location which is specifically mentioned as unsuitable for an All-Terrain walker (it's easy to find places where walkers have been deployed, but much more difficult to find a place where they weren't deployed because they were unsuitable). However, there are likely quite a few places where a walker is either totally unsuitable or nearly useless.
For example, the Databank entry for the AT-AT notes that
AT-ATs were used by the Empire as transports on Endor, the forest world that was home to the Death Star II’s shield generator. Due to the dense forests and brush, the smaller, more agile AT-STs were primarily used during the Battle of Endor.
This suggests that a sufficiently dense forest is a type of terrain for which All-Terrain walkers (especially larger ones like the AT-AT) would be unsuitable. Even the AT-STs struggled to walk in the forest of the Endor moon -- one of the Ewoks' traps involved tripping an AT-ST up with fallen trees that could roll on the ground. Even if an All-Terrain walker could walk in a very dense forest, it might not be able to attack anything because its line of fire is always blocked by a tree -- which would also make it unsuitable for combat in such terrain.
Also, while All-Terrain walkers could be used in the coastal areas of Kaskyyyk, they might not be able to navigate the planet's deep forests of wroshyr trees (some of which could grow to several kilometers in height).
Another place that All-Terrain walkers might be unsuitable is Mustafar. Large parts of the terrain consists of volcanoes and lava rivers, which would probably melt a walker's armor. Many structures on Mustafar were required to float above the surface due to the intense heat, and even then had to be heat-shielded:
Image source: Wookieepedia
An All-Terrain walker might be able to stand on a little island on Mustafar, but that doesn't mean it's suitable for combat or even transportation on such terrain.
Although All-Terrain walkers are likely unable to literally operate on any terrain, that doesn't mean their name is propaganda. The "All-Terrain" designation distinguishes it from vehicles which do have more serious terrain limitations, such as the wheeled HAVw A6 Juggernaut. This is similar to the real-world description of an "all-weather fighter" (or "night fighter"), which is distinguishable from a "day fighter" that can only operate during daylight hours. The "all-weather" designation isn't meant to imply that you could literally fly one in, say, a Category 5 hurricane -- it just indicates that it is more capable than a fighter limited to certain weather conditions (e.g. daytime).