If you are trying to make the screen/display turn off (aka phone's version of sleep), then you need to go into "Settings" and then "Display". Next tap "Sleep" and set the time you want it to turn the display off. Then it should turn the display off when that time is reached.
NOTE: That will only work if there are no apps on the device that interfere with this. So if you have something running that will stop the display from turning off, you either need to turn off the app that is the cause, or see if that option can be changed in that app.