Your theme has not registered support for post thumbnails. You need to add one of these as appropriate:
add_theme_support( 'post-thumbnails' );
add_theme_support( 'post-thumbnails', array( 'post' ) ); // Posts only
add_theme_support( 'post-thumbnails', array( 'page' ) ); // Pages only
add_theme_support( 'post-thumbnails', array( 'post', 'movie' ) ); // Posts and Movies
See the Codex (link above) for more information.