If I have no characters to attach he calls it thinking to can I still play it to cancel a response?

Yes, but if there is ANY martell character in play, you must attach it to one (including your opponent's).

You trigger the response and satisfy all the initiation requirements, including targetting requirments (of which there are none). Once the cancel resolves, you then check the "then" effect - which can succeed or fail independently.

It says cancel a response that doesn't mean an any phase effect does it?

It means an effect that starts with the both word "Response."