Have your texture already got an image with it (i.e., have the glTexImage2D() command been performed on that texture?)? If not, then the framebuffer is likely to be incomplete as a texture with zero-sized image is attached to an attachment point.
Another possible reason for the error (though much less likely) is attaching depth texture to a color attachment point.
By the way, this incompleteness has nothing to do with depth - or it would have been INCOMPLETE_MISSING_ATTACHMENT.