Diagnosis
This is almost always a condensate drain issue or a misaligned float switch. The unit is pulling moisture from the air, but the water is either draining out the back or the bucket sensor isn't recognizing that it should be filling.
How to Fix It
First, check the back of the unit. There's a round drain port with a rubber plug. Make sure that rubber plug is pushed in all the way and sealed tight. If it's loose or missing, water will drain out there instead of into the bucket. Next, take the bucket out and check the little white float inside the bucket well. Make sure it moves up and down freely and isn't stuck by a bit of plastic flashing or debris.
If That Didn't Work
The unit might be in Continuous mode. Check the control panel. If the "Continuous" light is on, the unit is set to run non-stop and drain out the back, bypassing the bucket. Press the Mode button to switch to a humidity setting (like 45%, 50%, etc.) so it will use the bucket again.
Heads Up
If you're using the drain hose, remember the bucket won't fill. That's by design. Also, on first use, it can take several hours in a humid space before you see measurable water in the bucket.