Some compressors have a valve on the outlet to turn the airflow off completely. If the tank pressure gauge is mounted on the tank and it is showing pressure normally this may be the case with yours. Look for a lever or valve on the line that comes out of the tank and make sure it is on so air can flow to the regulator section.
If you have nothing at all connected to the outlet, not even a quick-disconnect fitting, then air should be blowing out the whole time the motor is running since there is nothing to stop it. This is another indication that there may be a valve on yours.