As usual, this most-basic of tasks is wildly complicated in ArcGIS Pro. Here is one actual answer that works for me in a step-by-step order. May the Force be with you.
At the top of your ArcPro screen you'll see a search box (it says "Command Search" in it) - type "Catalog" in there and select "Catalog Pane" from the drop-down list.
Go to the new pane that pops up and you'll see a folder that says "Databases" - open it up and you'll see the name of your map (hopefully, if it's a Tuesday and Mercury is in retrograde) - right click on the name of your map and another new dialogue box opens up.
In this new dialogue box hover over the word "New" and select "Feature Class" from the (you guessed it) another new dialogue box.
From this point on it is straightforward. Type the name of your new feature class, the type of thingy it is (polygon, point, whatever). You won't need Z values unless you plan to show elevation data which, 99.999% of the time, you will not.
The new layer is added to your map at the top. Select hit, go to the "Edit" tab at the top of your screen and select "Create" to start making new objects.
Buy yourself a beer. Drink it while pondering who exactly makes a one-step process into 8 or 9 steps and what their punishment in the afterlife should be.
