It is described in the official documentation: link
VS Code does not include a File > New Project dialog or pre-installed project templates. You'll need to add additional components and scaffolders depending on your development interests. With scaffolding tools like Yeoman and the multitude of modules available through the npm package manager, you're sure to find appropriate templates and tools to create your projects .
Translating ...
"VS Code does not include a traditional File> New Project dialog box or preinstalled project templates. You will need to add additional components and scaffolders, depending on your With scaffolding tools like Yeoman and the multitude of modules available through the npm package manager, you will certainly find appropriate templates and tools to build your projects. "
In summary VS Code does not create new projects (New Project), because natively it does not have pre-installed "project templates". You need to install extensions to be able to create your projects, and the VS Code itself suggests link
Here is a list of extensions related to ASP.NET in the VS Code Marketplace
link