If you created the theme yourself, you should take a look at the WordPress Codex. They have a section called Navigation Menus. It contains all information you need about registering your menus the right way, so they are customizable.
To Keep things short:
Add this code to your theme’s functions.php to register your menu:
function register_my_menu() {
register_nav_menu('header-menu',__( 'Header Menu' ));
}
add_action( 'init', 'register_my_menu' );
Then place this in your theme at the place your menu needs to be:
<?php wp_nav_menu( array( 'theme_location' => 'header-menu' ) ); ?>
Change names where needed.
If did not create the theme yourself. Then ask the theme author to implement the menu in the right way.
You can also create a Child Theme and edit the (purchased) theme yourself. Then create two files. The first file should be functions.php and add the above code to it. Then duplicate the theme file where the menu is located (probably header.php). And change the menu code to the code above.