Why is Ctrl + J not doing anything? I'm trying to follow this tutorial: Create a Realistic City - Blender Tutorial

At timestamp 6:38, he selected all of the objects (using A) then joined them together using Ctrl+J. However, when I use Ctrl+J, nothing seems to happen.

I am using Blender v2.78
This can be a solution in GUI:

Step one: make sure the ojects that you want to join are of the same type, i.e. all are meshes.

Step two: select the first object.

Step three: select the second object.

Step four: click 'Join' button shown in the screenshot here (yellow arrow)