Probably because you are opening the folder containing your NEF files, and you are expecting to see them listed. The DNG converter doesn't work that way. You simply select the FOLDER containing your files, and then the DNG converter will convert all of the raw files in that folder.
That's what I did. I selected the folder but still didn't work ... just got an error message =/
Then they have been corrupted by using obsolete Nikon software, like Nikon Transfer for ViewNX. Recopy the files from the card/camera to the hard-drive without using any Nikon software and see if you can get the DNG Converter to work, then.
Since you haven't said what camera and what DNG Converter, it's possible that you're using a DNG Converter that is too old to recognize the raw format. What camera and what DNG Converter version are you using?