Some students truly do not understand what close reading should look like. These students often fall into one of two camps. They either highlight everything or nothing at all.
This example of what students should pay attention to while they read is from my Common Core Close Reading Practice passages Click Here. To help students figure out that is important in a text, I often tell them to look for details that show or tell a character's traits or motive, details that show cause and effect relationships, and details in a plot that elude to a theme.
It takes practice, but after while many students begin to understand what to do.
Close reading can also be done with younger students Click Here. This is a great skill to develop in the younger grade levels too.