This is pretty common even when someone has actually programmed frequencies into the scanner, but has toggled off all the banks - so there is another way for there to be nothing to scan. Toggling at least one bank back on fixes that.
In the meantime, another option is to do a generic service search instead of a scan:
* Power up the scanner
* If it is already scanning, hit the orange "Func" key. Then press "Srch/Svc" key.
* You can now toggle the banks of pre-programmed service searches on and off. Police is bank 1.
If you accidentally toggle off ALL the service-search banks, you'll see a similar warning about there being "Nothing to Search" in the display. Toggle at least one of those banks back on.
There is much more to discover, but at least you may be able to hear something interesting while looking up how to program the exact frequencies for your area into the scanner.