Theoretical limits for natural satellites having natural satellites
Wikipedia says there may be a reason (emphasis mine):


  No "moons of moons" (natural satellites that orbit a natural satellite of another body) are currently known as of 2014. In most cases, the tidal effects of the primary would make such a system unstable.


This seems to be because the secondary would have to be very close to the primary - close enough that it doesn't become simply another satellite of the actual primary (i.e. the planet).

The page then goes on to talk about Rhea, a moon of Saturn that may or may not have a ring system. This gives some more information.