This would usually be because of the way your project is setup. It may not be setup correctly to indicate where your source code is.
- To setup your project, in the Project Tab, click on the top most folder and select F4. This should bring up the Project Settings dialog window.
- Now click on Modules in the LHS, and then select the Sources Tab on the RHS
- Select your src folder and click on the Sources button, to indicate this is your source folder. Now IntelliJ is aware that this is where your code is.
- Click on Apply and OK. This should close the Dialog Window.
- Now right click on the src folder and then select New -> Java Class to create your Java class
Reference: https://stackoverflow.com/questions/38254612/intelli-j-cannot-create-class-file