DIAGNOSIS The thermostat is sending the signal, but your HVAC equipment isn't responding. This is usually an equipment issue, not a thermostat fault.
FIX Go to your furnace or air handler. Is the unit's power switch on? Is the breaker tripped? For furnaces, check if the flame sensor is dirty—a common cause of short-cycling. For AC, check if the outdoor condenser unit's disconnect switch is on and the breaker is good.
IF THAT DIDN'T WORK The thermostat might be misconfigured for your system type. On the thermostat, go to Menu > Installation > Equipment. Verify that your system type (e.g., Conventional, Heat Pump) and which wires are connected (W, Y, O/B, etc.) are set correctly. An incorrect "O/B" reversing valve setting is a classic heat pump culprit.
HEADS UP If you hear the indoor fan running but no heat/cool, you likely have a separate equipment failure (e.g., ignitor, compressor, refrigerant). The thermostat is just the messenger—time to call for service.