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Looks like it's a permission issue. Take a look at the blog below and review step 2 of the "Data analysis and management using Amazon SageMaker" section... https://aws.amazon.com/blogs/machine-learning/run-sql-queries-from-your-sagemaker-notebooks-using-amazon-athena/
I suspect something's missing in this step: "Under Notebook Instance settings populate the Notebook instance name, choose an instance type, and a role for the notebook instances in Amazon SageMaker to interact with Amazon S3. The SageMaker execution role needs to have necessary permission to Athena, the S3 buckets where the data resides, and KMS if encrypted."
I'm also sharing the following resource which can help troubleshoot "Access Denied" errors related to Athena... https://aws.amazon.com/premiumsupport/knowledge-center/access-denied-athena/
Hopefully these resources help you resolving the error.