They are only being polite... they spent the whole time asking you questions when you might have something you want to ask them! You are certainly not expected to have a question though you can if you want.
I imagine one situation in which it would be really good for you to have a question is if, in your academic interview, you are discussing something unfamiliar to you (often the case) and you really, genuinely want to find more, and you might ask a question about the topic, if it's something which you are wondering at the time. Though there's no point in sitting there desperately trying to come up with something.