This is a fresh install of Ubuntu 14.04. Also seems to happen in 16.04.
In Nautilus > Edit > Preferences > Preview
I have "Show thumbnails" as "Local files only" and "Only for files smaller than" 100MB.
Changing those settings to anything else doesn't generate thumbs either.
~/.cache/thumbnails is owned by me, and I can see thumbnails in there for the Desktop Backgrounds but nothing else.
I don't see thumbs for any file type or size. Nothing at all.