>  I have a model with quant vars only and the error message does not
make sense:

Could you tell us what version of S and of the survival package you are
using?  You can get this with sessionInfo(), see the posting guide for
details.  

This would help me identify the issue.  I was planning to post an update
to CRAN this weekend that has changes to survfit.coxph, addressing a
different issue than yours  -- models with a strata by covariate
interaction --- but this would be a very good time to address your issue
too if it is a code bug.

Terry Therneau (author of survival).

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