Im actualy glad to hear this. In my opinion there is a lot to find in this game, often leading to a single investigator having over a dozen cards near the end of the game. Finding nothing of interest is something you would expect to be the norm when making investigations like these.
I don't recall ever getting nothing. The exception is if I didn't roll high enough on a check. Was it locked and you had to do a str check to get in? Was it one that you had to indicate the number of successes you rolled? If so you may not have rolled enough and the item was no longer available. I've always, at minimum, gotten a clue.