This can happen if AppleTV is setup with IR control instead of IP control (or if IP control steps failed during setup). You can check the control type by going to Settings > Devices > AppleTV and checking "Control Type". If it is set to IR, please follow these steps below to change it to IP control:
1. Restart AppleTV by going to its Settings > System > Restart
2. On Control Center, open Settings > Devices > AppleTV and select "Change Device"
This will step through setup of the AppleTV again.