Every story has a setting, although some writers are sketchy when it comes to "place." A vague setting may make it difficult for readers to enter your fictive dream and lose themselves in it for the duration of your novel.
Ray Bradbury said, “In order to convince your reader that he is there, you must assault each of his senses, in turn, with color, sound, taste, and texture.” Sensory details are the secret to creating a setting, but not just any details. They should be ones that best portray the surroundings and make it distinctive. Don't clutter your setting with bland, generalized elements, and don't over-describe. Less is more if you choose details that are vivid, kinetic and revealing.
Here's a great example from Madame Bovary: “Silver gleamed in the jewelers’ windows, and the sunlight slanting onto the cathedral flashed on the cut surface of the gray stone. The square, echoing with cries, smelled of the flowers that edged its pavement – roses, jasmine, carnations, narcissus and tuberoses interspersed with well-watered plants of catnip and chickweed. The fountain gurgled in the center. Bareheaded flowerwomen were twisting papers around bunches of violets.”
This is a setting we can see, hear and smell, one that also sets a lovely, cultured tone for the story.
Here's another terrific example from the opening of F. Scott Fitzgeralds, “The Adjuster”: “At five o’clock, the somber egg-shaped room at the Ritz ripens to subtle melody — the light clat-clat of one lump, two lumps, into the cup, and the ding of the shining teapots and cream-pots as they kiss elegantly in transit upon a silver tray.”
Readers are more likely to remember your setting if it contains movement as both of these examples do. Make sure the description reflects the mood you want. For example, having an entire story take place inside a small house may feel claustrophobic. Ask yourself what kind of impression you want to make and target the details that make it special.