I was having this issue too. I just found the answer. It is not a supported feature and that is why it does not work. It looks like the best practice for this would be to check out the file and then check it back in. Very disappointing! Sorry guys and gal and even sorrier that Microsoft could not provide the answer to any of us.
Features that prevent a workbook from being opened
The following table describes features that prevent a workbook from
being opened in the browser. To open a workbook that utilizes any of
these features, open it in Excel.
Data validation:
Preventing invalid data entry and creating drop-down lists.