A typical problem is that the chromosome names don't match between the reference sequence and the GTF file.

Try running:

samtools idxstats my.bam

The output should look something like this:

chr1    195471971   1866052 0
chr2    182113224   1667812 0
chr3    160039680   1339058 0
chr4    156508116   1318268 0
chr5    151834684   1383842 0

where the columns correspond to the names of the chromosome, their length, the number of mapped reads and the number of unmapped reads.

Make sure that a) you have mapped reads and b) that the chromosome names are exactly the same as those in the first column of the GTF file that you use with featureCounts/HTSeqCounts.