This was happening because web_message communication was not enabled in Auth0 client settings. To enable this you have to go yo clients-> settings-> Allowed Web Origins and add all the URLs from wherever you want to perform silent re-authentication.
Earlier this field was not visible in my auth0 version. If you are also not seeing this option in your client settings than contact auth0 help and get your auth0 appliance updated to latest version.
NOTE: Allowed Web Origins and Allowed Origins (CORS) are two different fields inside client settings and you have to set urls in Allowed Web Origins