Although many cats retain the instinctive behavior to knead soft surfaces, not all of them do, and it isn't usually anything to worry about if your cat doesn't knead. It may be that your cat was hand-reared, so never developed the behavior of kneading which usually starts when kittens are nursing from their mothers.
Some cats naturally stop the behavior when they reach adulthood and are perfectly content and happy without needing to continue it. However, it could be that your cat is stressed and not relaxed enough to knead, or that they have pain in their legs (such as arthritis), or a painful condition affecting their nails. If you are concerned that your cat could be suffering from any of these things you should get them booked in for a check-up with your veterinarian.