$\mathbf{v}_g(\mathbf{k})$ is the velocity of electron in state $\mathbf{k}$. The full current carried by all the electrons is obtained by integrating over all the filled states of the Brillouin zone:
$$
\mathbf{j}\propto \int_{\text{BZ}}\mathbf{v}_g(\mathbf{k})n(\mathbf{k})d^3\mathbf{k},
$$
In many calculations $n(\mathbf{k})$ is just the Fermi function
$$
n(\mathbf{k}) =\frac{1}{e^{\beta(E(\mathbf{k})-\mu)}+1},
$$
however, when we speak about a completely filled band at zero temperature, the occupation factor is $1$ everywhere in the Brillouin zone, i.e., out integral becomes simply
$$
\mathbf{j}\propto \int_{\text{BZ}}\mathbf{v}_g(\mathbf{k})d^3\mathbf{k} = 0,
$$
since, if it were non-zero, we would have a non-zero current.
Example
Let us consider a one-dimensional tight-bidning chain with the dispersion law
$$
E(k)=-\Delta\cos(ka),
$$
where $2\Delta$ is the band width and $a$ is the lattice spacing.
The Brillouin zone is
$$
-\frac{\pi}{a}\leq k \leq \frac{\pi}{a},
$$
whereas the electron group velocity is
$$
v_g=-\frac{1}{\hbar}\frac{\partial E(k)}{\partial k}=
\frac{\Delta a}{\hbar}\sin(k a)
$$
The integral
$$
\int_{BZ} v_g(k)dk=\int_{-\frac{\pi}{a}}^{\frac{\pi}{a}}\frac{\Delta a}{\hbar}\sin(k a)
dk
$$
is zero, since it is an integral over an odd function in symmetric limits.