What does it mean when you dream of nothing?

That depends whether you mean you didn't dream at all or whether you mean that you dreamed of nothing as in black space or white space.

If you mean you didn't dream at all, then that is perfectly normal. Many people don't dream for days.

If you meant you dreamed of empty space, or literally nothing, then it could mean that you have something haunting you and that "thing" needs to come out.