Do you have settlements left?
You have only 5 settlements, after that you have to upgrade existing settlements into cities to release the settlement icons. After that, you can reuse them to build new settlements.
Did you build 2 roads between the settlements?
You can only build a settlement, if you have build the roads (at least 2) to the building site.
Distance to other settlements
Maybe the cities or settlements of other players are too close?