It is indeed interesting that the Greeks and Romans perhaps did not find anything interesting
I'm sure they did. In modern English, at least, "interesting" covers quite a range, from "noteworthy" to "arousing attention" or even "unexpected." I often use the word in a negative sense, to describe the mysterious behaviors computer exhibit.
So rather than not finding things interesting, they chose words to describe the nature of the interest.
Annis, have you ever come across any Greek authors mentioning that something is interesting?
I can't say that I have. My reading is still mostly poets rather than philosophers or historians.
Did they ever use hedys or terpnos for "interesting"?
I've never seen it, as far as I recall.