From bowtie2 manual:

--un <path>        write unpaired reads that did not align to <path>
--un-conc <path>   write pairs that did not align concordantly to <path>

The reason why --un returns nothing is probably because all your reads are paired, so --un-conc would be the way to go. On the other hand, --un-conc is different than just outputing reads that did not align (samtools -f 4), because, as described, it will return any pair that did not align concordantly (concordantly = both reads mapped on the same chromosome within reasonable distance of each other, defined by the -X and -I parameters).

To illustrate the difference, think of a read pair with one mate mapped and the other unmapped. samtools -f 4 will only return you the read that is unmapped, while bowtie2 --un-conc will give you the full pair.