* Complete failure of the internal transmission components: This could be due to broken gears, a shattered output shaft, a severely damaged synchronizer system, or a catastrophic bearing failure.
* Broken or severely damaged shift linkage/cables: While less likely to result in the complete loss of *all* gears at once (some might still engage erratically), a major problem with the shift linkage could prevent any gear from engaging properly.
* Low or no transmission fluid: This is a severe problem that would likely damage the transmission quickly. The lack of lubrication could cause gears to grind to a halt.
It's highly unlikely the transfer case is the sole culprit in this scenario. A transfer case problem would typically manifest as a lack of power to one or more axles (e.g., 4WD not engaging), not the complete loss of all forward gears.
You should have the vehicle towed immediately to a mechanic. Driving with a completely failed transmission can cause further damage and is unsafe.