Use the Open File and scoll the selection type to near the bottom:
It might have been modeled and exported as a mesh or surface model and not a solid.
Are you a student?
Do you have a subscription?
You will need the Mesh Enabler to convert the stl to solid.
Can you zip and attach the stl file here?
Are you fully aware of the nature of stl files?
I don't have a subscription, or I'd try the Mesh Enabler. The thing that's most frustrating is that I can accomplish everything I need with a combination of 123D Design and Tinkercad. It's just a pain to have to go back and forth between them. I can't understand why Inventor lacks simple functionality that those two apps have. It's weird to me.
You didn't answer my first question.
Are you a student?
This functionality is available for free to students and to those on subscription.
Send email to Scott Sheppard (seach here).