There's nothing wrong with stories that aren't understood until the end, and ones that are a little more ambiguous rather than having a distinct theme that can be stated in a sentence. Often times those ones are the most thought-provoking.
It does need to explore something, though. There should be some kind of issue or idea in which you're interested, something that you want to explore. It won't always pop up right away... You can just meander around picturing your characters in situations until something jumps out at you as significant, and then just build from there.
The advice I'd give would be to draw from personal experience. What was a point in your life in which you learned something? How did it change you as a person, or the way you thought of the world? How did you learn it?
Even when we're not directly writing about ourselves, we often do our best writing when we're inspired by our own lives, as then it's a subject personal to us that we understand well.
Also, if your characters develop at all as people (which they definitely should!) there's a story in it. If they're learning and changing, there's a story to be found in there. If a character is learning something and growing because of it, then the audience is experiencing that along with them.
Ideally, you also want a conflict that will hook readers in. There are lots of different ways to do this, like a threat of danger, a character wanting something and having to work to get it, the audience knowing something that the characters don't... whatever you want to use.
You're also right that a well-built world and interesting characters can make up for a LOT.
Also, don't overthink it too much. Pay attention to your imagination and put effort into picking out which ideas mean something to you and which ones don't, but don't stress over it. Let it flow organically.
There's no right or wrong method to this. These are just my personal suggestions. 
