I just tried this and I only get the "nothing there" message in the branches menu if I just initialized the git verisoning and added none of my files to git.
Open your "changes" tab at the bottom and select the "local" subtab, there you will see your files are listed under the "unversioned files" node.
Add the desired files to GIT, but as a first advice be sure to add all the files under the .idea folder and all *.iml files to the git ignore list. you don't want these versioned. (try secondary click and then use the ignore option...)
After adding your files, commit them to your repository and you will be able to create branches. There is no sense in making branches of empty contents.