What does my colleagues' question really mean?
It is impossible to read their minds, of course, but I think that they are at least expressing surprise that you don't have doctoral students. There may be a (very) mild rebuke in it, especially if it is thought to be a necessary element of the work. 

But, there may be an implied warning, that, although they can't sanction you for not having students, there might be long term negative consequences for your career if you get by without accepting students. You don't say whether you have been asked to be an advisor and you don't say whether you have turned people down. If either is true then the warning, as well as the rebuke, might be a bit stronger. 

But whether there are consequences or not depends on local custom at your place of employment as well as your other contributions to the profession.