Delaunay has shown that the Delaunay complex of a finite set of points $P$ of Euclidean space $mathbb{R}^m$ triangulates the convex hull of $P$, provided that $P$ satisfies a mild genericity property. Voronoi diagrams and Delaunay complexes can be defined for arbitrary Riemannian manifolds. However, Delaunays genericity assumption no longer guarantees that the Delaunay complex will yield a triangulation; stronger assumptions on $P$ are required. A natural one is to assume that $P$ is sufficiently dense. Although results in this direction have been claimed, we show that sample density alone is insufficient to ensure that the Delaunay complex triangulates a manifold of dimension greater than 2.