When configuring the field with no "Content types that can be referenced" selected, one may expect content of any type to be reference-able. This is a valid use-case.

However the settings do not work in this way; No content is referencable if no "Content types that can be referenced" are selected. There is no use-case for this scenario.

Of course the configuration where all content can be referenced by selecting all content types in the field configuration. However there are scenarios where this is not possible; for example in certain feature packages or install profiles where the full list of content types is not known when the field is being configured. And sites where site administrators are expected to add and configure some custom content types after hand-over of the initial site build.