If you have nothing in your Column shelf, then Tableau does not display a column heading.
To fix this, add an ad-hoc calculation to your Column shelf. The calculation is simply the string of what you want the header to say. Enclose it in double quotes so Tableau knows what you're doing.
You'll notice it appears twice. One is the column "header" and the other is the actual value of the string. Right click the top one (with the quotes) and choose Hide FIeld Labels for Columns.