is it possible that there is no gene at a locus?
Like you said in your question - "locus" means location.  A locus may be anywhere on a chromosome - an entire "gene" coding locus, a non-coding locus (junk DNA), a regulatory sequence locus (example - the promoter region of a gene), or just a single nucleotide locus (SNP) etc.  A "locus" is the location of interest on the chromosome.

Yes, it is also possible that any genetic "locus" may be absent if it has been lost by a "deletion".  A deletion is a type of mutation.  They might be a single nucleotide deletion or a very large deletion of thousands of nucleotides. Genetic deletions can happen in several natural ways (a DNA repair error for example), and by other mechanisms, but also through "man made" genetic manipulations.