Kicad doesn't generate netlist
Just to check that the procedure is clear, you can click on "Tools -> Generate Netlist" menu item as shown below:



Then you should get the following window pop-up.  You select the "Pcbnew" tab (selected by default) and click "Generate"



After this, the directory selection window pops up and you click "Save":



After you to this, if there is no Netlist in the output directory that you selected, can you attach the schematic you are using and say which version of KiCAD you are using?