The signal was weak. I was indoor.
Plus you usually have to move a bit. GPS tells you which direction you are moving, not which direction you are facing. Usually it becomes valid when the GPS speed becomes valid too.
If you need to know which direction you are facing, ie, the orientation of the phone, then the magnetometers will get you most of the way there, just don't go staking your life on the readings. I assume Android will translate the magnetic flux readings into a NSEW bearing, but I'd be (pleasantly) surprised if it took into account the magnetic declination of true/geographic vs magnetic north, which varies depending on where you are. Nearby ferrous objects (eg, car bodies, concrete steel reinforcement) and electromagnetic fields don't help.