Due to Catalina breaking compatibility for many audio applications (including Audacity), Audacity is unable to access audio input devices. To work around this issue, you need to launch Audacity from a Terminal window, and grant the Terminal “permission to access the microphone”.
See here for details: https://forum.audacityteam.org/t/audacity-2-3-3-under-macos-10-15-catalina/54279/1
The next version of Audacity resolves this problem so that Audacity can be launched normally.