Which platform account are you using to log into Bungie.net?
You currently do not have cross save enabled and the only platform that you have an active character is your Steam account.
If you're not using that account to log in, but rather your PSN account would explain why you are getting that message because you don't have any active characters on that account.
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Activating crossave fixed it. I think I originally setup the account with my playstation account which was why it wasn't working even though my steam account was also connected.