Question: I don't have any hobbies that I can think of. What should I do in the interview?
You should always say something as your hobby. Do not say no or lie about your hobbies.
Question: Is it important to have hobbies for interview?
It is a good practice to indulge oneself in a meaningful hobby. As for interviews, having a hobby or interest that you are passionate about will help the interviewer know more about you and it also gives you a chance to showcase your skills.