When you did your build did you select the debug icon to
setup code and Creator for debug ?
Do you show in Debug menu being connected to the board ?
The BLE Device (PSoC 4 BLE/PRoC BLE) can be configured into one of the two modes for debug, viz SWD and GPIO.
With SWD mode, the BLE device can be debugged. But enabling this mode means that device draws a certain amount of current continuously (as Debug port is enabled).
With GPIO mode, the BLE device disables SWD for debugging which allows low-power mode operation. But with this, debugging cannot be done.
Most of the BLE projects have been configured for low-power mode operation, which means that the Debug option is set to GPIO. To enable debugging, go to CYDWR of your project (you can find this in the Workspace Explorer of PSoC Creator IDE) -> Systems tab -> Set Debug Select to 'SWD'. Now rebuild the project and use the project for debugging.
Hope this helps.