In order to make a nest you need 6 uses of any nesting items. Any you have in your hoard will appear in the list there on the nesting page, you just need to select them (tick the checkbox to the left of it) before clicking the 'make nest' button.

Nest items include lots of things commonly found in Explore - feathers, herbs, abandoned nests, etc. If you don't have enough, you can also buy the specific Nesting Material item from the Monkey Business shop, costing 60SB. Or if you're still working through the game tutorial, then you will have been given one for free automatically upon breeding your first lioness. It has 6 uses - so it's enough for 1 full nest without other items needed.

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