The Riemann-Hilbert approach, in conjunction with the canonical Wiener-Hopf factorisation of certain matrix functions called monodromy matrices, enables one to obtain explicit solutions to the non-linear field equations of some gravitational theories. These solutions are encoded in the elements of a matrix M depending on the Weyl coordinates ρ and v, determined by that factorisation. We address here, for the first time, the underlying question of what happens when a canonical Wiener-Hopf factorisation does not exist, using the close connection of Wiener-Hopf factorisation with Toeplitz operators to study this question. For the case of rational monodromy matrices, we prove that the non-existence of a canonical Wiener-Hopf factorisation determines curves in the (ρ, v) plane on which some elements of M(ρ, v) tend to infinity, but where the space-time metric may still be well behaved. In the case of uncharged rotating black holes in four space-time dimensions and, for certain choices of coordinates, in five space-time dimensions, we show that these curves correspond to their ergosurfaces.