Voicemail set up iPhone 14 pro

Have you turn On your voicemail box?

Try to optimize the range of the mobile network, see this Apple article:

If you see No Service, Searching, or SOS on your iPhone or iPad

If you see No Service, Searching, or SOS on your iPhone or iPad - Apple Support

I cannot set up voicemail on this phone.

You need turn On your voicemail box.

Then call your voicemail box number -> xxxx to listen to the main menu.

Every Carrier has their own main menu, so check it with your carrier.

An example here:

1.

Choose 2 for the personal settings of your voicemail. 

Choose 3 for PIN code and choose a 4 digit code. You can also change your pin code here and indicate when your voicemail should ask for the pin code.

FYI: if you enter an incorrect code 3 times and you will receive a temporary code via SMS. You can change that later. 

2.

Unheard messages are stored for 8 days. Messages you've listened to will be gone after 24 hours. Longer storage is also possible. Press 5 while listening to your message and it will be saved for 7 days.

Which voicemail box number you should call depends on your carrier, the voicemail settings are controlled by your carrier, so contact your carrier.

Read again my first response:

You need turn On your voicemail box.

Then call your voicemail box number -> xxxx to listen to the main menu.

Every Carrier has their own main menu, so check it with your carrier.

Try to read my first response again & turn On your voicemail box.