Hi!
It could be the problem,you should be sniffing data from your active internet interface.In case eth0 is not your active interface,check which one is by typing iwconfig
in terminal.Are you using wireless adapter?It’s possible that you just aren’t sniffing on the right interface or did not configure the network settings in kali,cause
when you set the NAT network in kali’s settings by default it uses simulated ethernet connection(eth0).In case you did not set up the NAT network in Kali, I think in
the beginning of the course mr.Zaid explains and shows how to do so.But,anyway in order for the program to work you need to specify the network interface that you
are using currently,if it’s a wireless adapter,it will show up when you type iwconfig,in my case it is wlan0.

Let me know if this helps.
Nikolajev