Yes, the Document Search feature only works if you store the documents inside the database, not in an external location. Can you please confirm is this true in your case?

You activate search domains in Solution Manager\User Interface\Application Search\Search Domains. 

There are three domains related to DocMan, namely DocumentContent, DocumentAttributes and DocumentObjectConnection. You will have to enable the domains you want to use (if not already enabled and let the jobs run to index data). 

Then you can use the ‘Enterprise Search’  which you find in the upper right hand corner of the application (IEE).

As @Srikanth pointed out you need the documents in the database and to get to document content, the text needs to be readable i.e. not an image of text. 

You can read more about it here:

https://SERVER_URL:PORT/ifsdoc/f1doc/Foundation1/010_overview/220_user_interface/application_search_concept/application_search_architecture.htm#Search_Domains

https://SERVER_URL:PORT/ifsdoc/f1doc/Foundation1/010_overview/220_user_interface/application_search_concept/default.htm

Thanks for your answers! I have checked with our administrators, unfortunately we store the documents on an FTP server.