I had the same
problem. It turns out that I had to unplug
everything (namely my iPhone and its cable).
There is no "Find Device" option (although it would be lovely to have one).
1. Unplug
all USB devices
2. Start Calibre
3. Plug in your Kindle. It takes a few seconds, but you should then see the "Device" option come up.
I have tried plugging my Kindle in first, then starting Calibre, but that does not work, for me.