Direct brokerage like Interactive Brokers might have shares I think each broker has a certain amount of shares made available by banks or from individual accounts. Just check back with them the next day or so. You're just miss your place in the shorting line as professional firms has located all the possible shares to short and are sitting on it. I tried to short Groupon when it was at $12 per share and couldn't locate the shares as well. Now it's trading below $7.
So you do know the GREAT POWER of shorting GRPN. I backed into a short position in GRPN by selling a bull call spread. I went short the Jul'10 calls and long the Jul'16 calls. I sneaked into a short position when the calls were exercised. I tried the same thing with YELP and got my butt handed to me.