As xquisitx has already said, check the cable (there is also a y connector on one cable) and attach it only to the fan. If it still doesn't work, I would say the leds on the fan are defective. But it's hard to help like this. Maybe Discord?

Which cables are outgoing from the fan? 4Pin PWM/3Pin + 3Pin RGB?
Check if all cables are connected (4Pin/3Pin for the fan and 3Pin RGB for the lighting on the white connectors on the mainboard).