Are you using MATLAB R2014b? This is a known issue with printing or saving to the EMF format in MATLAB R2014b. It appears that sometimes, saving the figure to a FIG file, restarting MATLAB, opening the FIG file and printing it resolves the issue.
Another work around for this issue is to use "print" command twice as shown in the following lines of code:
>> figHandle = figure;
>> figData = magic(4);
>> legend('Data 1','Data 2','Data 3','Data 4','Location','north');
>> print –dmeta;
>> print (figHandle,'-dmeta','-painters','-r864','dataFigure');
I would also suggest to try it in MATLAB R2015a. The EMF file came out correctly for me in the newer version of MATLAB (R2015a). I hope this helps!