It does not "not do anything", it expands to a list of your files that have a filename starting with ~. You just don't happen to have any in the current directory ;)

And yes, this is a potential footgun:

  % touch ~test
  zsh: no such user or named directory: test
  % touch "~test"
  % ls ~*
  ~test
  % rm ~test
  zsh: no such user or named directory: test
  % rm "~test"
  % ls ~*     
  %