Bettas make and/or do not make nests for various reasons. I have seen sick bettas make nests and healthy bettas who do not.
Some bettas require something to help them start. For example, one of my males only builds nests in a tank that has floating plants, because he builds nests under them. However my other betta will build nests only after he has had a flaring exercise session with a mirror or another one of my boys (or girls). Others are too young or too old (or too lazy) to build nests.
Nesting is NOT a definitive sign of good health and overall happiness, but it is a good indicator that they are.