Theme menu in Admin Panel

You need to register custom menus in your theme – https://codex.wordpress.org/Function_Reference/register_nav_menu

You first need to register your menu in functions.php like so:

add_action( 'after_setup_theme', 'register_my_menu' );
function register_my_menu() {
  register_nav_menu( 'primary', __( 'Primary Menu', 'theme-slug' ) );
}

Then, where you want your menu to appear – usually header.php – you call the function:

wp_nav_menu()