When I draw a rectangle in Photoshop, it does not place it on any layer

When I draw a rectangle in Photoshop, it does not place it on any layer. This seems like unusual behavior.

1. Create a new document


2. Unlock Layer 0.


3. Click on Layer 0 so it's selected.


4. Draw a rectangle in my document.

At this point there is still only Layer 0 in my layers tab. If I make a new layer, then delete Layer 0, the rectangle is still there.

What am I misunderstanding about Layers in Photoshop? In Illustrator this would have added a rectangle to the selected layer.