Think of it as a query, which it is. You are asking for all “records” (DOM elements) that match your criteria. The result is a set of zero records.
It then loops over your zero records and applies the action to them. 🙂
If you did the same thing with SQL, or an array, it would behave the same way in most languages. A collection of zero records is not an error state.
var things = $("invalid selector");
$("p").text("The object is valid: " + things + " but has " + things.length + " elements.")<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
<p></p>