Are you trying to install MOSEK 9.0 or 9.1? If so, that requires MATLAB R2015a or newer https://docs.mosek.com/9.1/releasenotes/platform-support.html .
For MATLAB R2014a or b, I believe you need to use MOSEK 8.1 (or earlier).
In any event,have you tried
mosekdiag ? If you can;t get MOSEK to work under your MATLAB without using CVX, you won;t get it to work under CVX. If you can;t get MOSEK to work at all under MATLAB, even without CVX, I suggest you seek help at https://groups.google.com/forum/#!forum/mosek .
Perhaps you are experiencing a similar error for similar reason wiith GUROBI?
thanks for your help,i think i should requires MATLAB R2015a+ .