The error says you have entered a wrong VPC Id.
Check your VPC Id and then execute the statement. Your security group will be created.
C:\>aws ec2 create-security-group --group-name my-sg --description "My security group" --vpc-id vpc-0f137be1215hgyta16
{
"GroupId": "sg-0788ff40f5gt56a55"
}
This way you will be given the Security Group Id stating that the security group is created.
Hope this helps.