It’s is not possible to use Excel through Sharepoint 2010 on PowerPivot data, if you are using a claims based authentication provider.
Although classic mode sign-in is not required for the more common data access scenario (where PowerPivot data is extracted from the same Excel workbook that renders it) do not attempt to use PowerPivot for SharePoint with SharePoint web applications that are configured to use other authentication providers. Doing so will result in a connection failure whenever users try to connect to PowerPivot workbooks as an external data source.
Source: http://msdn.microsoft.com/en-
If anyone has a solution to this please let me know by commenting this post.
One possible solution could be to use a third party OLAP-browser for example the freeware version of Ranet Uilibrary Olap or the commercial version of Ranet Uilibrary Olap.