How to reproduce:
1. Open the attached project "TestAnim783217.zip"
2. Expand sprite in the Project folder
3. Select 3 or 4 sprites
4. Right Click -> Create- > Animation
5. Drag one of the sprites to the hierarchy
6. Drag created animation
7. Open animation window and select that sprite in hierarchy
8. Notice that created animation is empty

Workaround: after step 3, drag all selected sprites to the scene and it will create animation with keyframes

Not reproducible: 5.4.0b9