Asus Nexus 7 Tethering and Wifi HotSpot not available
You probably don't have the version that includes a GSM modem.

I guess you want to set up an ad-hoc local wifi network?

The non-GSM variants don't offer tethering options because there's obviously no point in tethering when the device lacks the functionality for a GSM mobile data connection. Alas, some rarer use cases like set up a local wifi accesspoint without internet access or USB-tethering the wifi connection are also not possible then. Only rooted devices or 3rd party firmwares like CyanogenMod offers this.