You need to have the tags in the sidebar match the tags on your files.
If you only use files you tagged yourself, on that Mac, then this is rarely an issue. If you have tags from other users, or share across your network with the same colours but different definitions, you need to dig deeper & click "Show all tags" or change which tags show in your favourites.
Tags are in Finder Prefs [prefs for any app can be invoked with Cmd ⌘ , [comma] or from the menu item that shows the App Name, in this case Finder.
If you have inherited files from other users or other machines, these labels may not match what you are expecting. A visit to this pref will "re-think" what all the tags are. You may find the tags are 'similar but not identical'. You need to set visibility by checking the box & also you can drag into your preferred sidebar order.
Here's a [rather awkward] screenshot showing that I have 2 'orange' tags with 2 different names [amongst others]. Files tagged as 'Imminent' are not part of the group tagged as 'Orange'.
If you click "All Tags" then you do get an alphabetical list of all tags in the next column. Clicking any one of those will then show the files tagged in that group.