Office 2016 for Mac will not download documents from sharepoint

I have Office 2016 on my Yosemite Mac

When I go to my sharepoint site I can log in and browse to documents. Whenever I click a document it says

No Network Connection
Please check your network settings and try again.

I have tried in Word and Excel. I have also used the Microsoft Document Connection, which again can see the files but will not open them.

I used to be able to do this.