I've been through many similar issues in Moss 2007 in addition to this case specifically,
This should be a multi-tier or cross domain authentication issue; so considering multi-tier authentication (most common); if your Moss 2007 & SQL server  Analysis Services are located on two different servers you should face this issue and to resolve it try the following:

• Open the IIS Manager & Locate your share  point website
• Go to the web site properties dialogue
• Navigate to the ASP .NET tab page
• Click Edit Configuration
• On the Configuration dialogue navigate to the Application tab page
• On the Application tab – Identity section, please find the Local Impersonation check box; please uncheck this box and click ok (this will make your server pass the windows credentials that it got from the client along to the other server instead of passing anonymous credentials)

Note: please make sure that the windows account you are using have the right permissions to access both Moss 2007 & SQL Server Analysis Services Servers

Finally I’d like to draw your attention that this might not be the best professional solution but as the SQL Server Analysis Services does not allow SQL Authintication I couldn’t find something else.