This is a great question. Shakespeare returns again and again to the idea of "nothing" in King Lear, from the very beginning, when Cordelia offers "nothing" to her father to win her portion of his lands, and Lear tells her that "nothing will come of nothing." As the play goes on, other characters indicate that Lear is right—but not in the way he thought. Lear himself is indicated to be "nothing," and increasingly so as age begins to take hold of him. His Fool tells him that he is "an O without a figure," and that, having at least the identity of a fool, he is "better" than the king is now—"thou art nothing." Lear is no longer a king; what defined him has been taken away from him, and he is declining mentally, too. The Fool uses the analogy of an egg which, having two crowns, at least has "meat" in the middle; Lear, by contrast, has given away his crown and has nothing left.
The Fool is a fascinating character in this play, as he is often the only person who dares to speak the truth. As a Fool, he is beloved of Lear and tasked with entertaining him, but in truth, he is also the king's caretaker and the only person who can state frankly what is happening. In the latter part of the play, the Fool has disappeared, and Lear becomes even more unstable, more "nothing" without his Fool to support and define him. By the end, Lear is seeing things that are not there, his eyes useless to him, a contrast to the literal blindness of Gloucester, who, like Lear, refused to see the truth of his children. Nothing has come of Cordelia's "nothing," the play leaving her murdered, while nothing has come of Lear or his plans, either.