The element needs to be present nearby.
The Elemental Attunement feature states the following:
You can use your action to briefly control elemental forces nearby...
The option you cited is then provided:
Create a harmless, instantaneous sensory effect related to air, earth, fire, or water...
In order to create such an effect, you have to control a nearby elemental force. If that elemental force is not present nearby, you can't control it and can't create the effect.
Exactly what constitutes "nearby" is probably a matter for the DM to adjudicate and might differ depending on the campaign setting and the mythology surrounding the four elements, which is not described in the rules for the Way of the Four Elements. For example, a DM might require that you can see or touch a particular manifestation of the element, or a DM might rule that the elements are always around you as part of the fabric of the world.
So, if the DM isn't you then you should ask them how they would rule on "nearby," and if the DM is you then you should be prepared to rule on "nearby."
The effect isn't intended to be created from nothing.
Although Elemental Attunement is not a spell, the wording of a "harmless, instantaneous sensory effect" is nearly identical to the wording in the druidcraft, prestidigitation, and thaumaturgy cantrips, which are from the transmutation school of magic. This similarity suggests that the description of the transmutation school of magic can give us insight into the feature.
Transmutation[s] change the properties of a creature, object, or environment. They might turn an enemy into a harmless creature, bolster the strength of an ally, make an object move at the caster's command, or enhance a creature's innate healing abilities to rapidly recover from injury.
Changing the properties of the environment implies not an act of creation from nothing but an act of manipulation from existing stuff. This fits with the idea that the elemental force needs to be nearby in order to control it to produce the harmless sensory effect using Elemental Attunement. I suggest that shows us the designer's intent regarding how the harmless sensory effect option is supposed to work, since it is effectively a derivative of the three transmutation cantrips above rethemed for use by a monk instead of a traditional spellcaster.