Why is my paper "under review" if it contains no results?
There's a good chance the journal is getting confirmation that it is indeed a new problem. The fact that it's new to you does not mean it's actually new - perhaps you've simply not seen the paper(s) that stated and maybe even solved the problem.

The journal could also be confirming if the problem is actually interesting. It's not so difficult to come up with a new problem, but coming up with an interesting new problem would be something else.