Použijte strukturu sqlca
EXEC SQL include "sqlca.h"
#define NO_ROWS_FOUND (sqlca.sqlcode==1403)
EXEC SQL BEGIN DECLARE SECTION;
int val=0;
short ind=0;
EXEC SQL END DECLARE SECTION;
EXEC SQL
select value
int :val :ind
from mytable where rownum=1;
if(NO_ROWS_FOUND)
printf("No rows found\n");