Can't define a foreign key

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MySQL

ForeignKey

In MySQL I've two tables:

Monitors:
Id: INT PRIMARY KEY NOT NULL AUTOINCREMENT
GroupId: INT NULL
....

MonitorGroups:
Id: INT PRIMARY KEY NOT NULL AUTOINCREMENT
Name: VARCHAR(50)

I need to define this constraint:

ALTER TABLE Monitors ADD CONSTRAINT monitor_group_fk FOREIGN KEY (GroupId) REFERENCES MonitorGroups (Id);

But I get the following error:

ERROR 1452 (23000): Cannot add or update a child row: a foreign key constraint fails (`zm`.`#sql-475_1c237`, CONSTRAINT `monitor_group_fk` FOREIGN KEY (`GroupId`) REFERENCES `MonitorGroups` (`Id`))

At the moment there's no record in MonitorGroups table and GroupId of rows of table Monitors are not set. I need it to be legal. In another words, I need MySQL to keep track of the field GroupId of table Monitor only if it's set. I would like to define the constraint as:

ALTER TABLE Monitors ADD CONSTRAINT monitor_group_fk FOREIGN KEY (GroupId) REFERENCES MonitorGroups (Id) ON UPDATE CASCADE ON DELETE SET NULL;

so that if a group id (Id field) changed in table MonitorGroups, MySQL change it automatically in table Monitors and if a group was deleted from table MonitorGroups, MySQL automatically set GroupId of corresponding rows in table Monitors to null. What's wrong and how to reach this goal?

What I have tried:

I investigated about nullable foreign keys, but couldn't find a solution at last. I'm not sure whether MySQL support nullable foreign keys.