Force users to always log in and show no content
On the Structure > Blocks page, configure the Main Content block.  Within the Roles section, check Authenticated User.

Move the User Login block in the Content region.  This allows the Login screen to appear even if they are not logged in.

If you want to redirect them to the login page, you can install the Rules module and create a rule that whenever an anonymous user loads a page, and the page path is not user*, then redirect them to /user.