No power to the thermostat

I have a steam and gas boiler and there is no power to the thermostat. The thermostat is wired, mercury, round Honeywell. I opened up the thermostat and used a multimeter to check for voltage on the wires on the wall and got no voltage. I disconnected the vent damper from the wires and also used the multimeter to check the wires and got 24V. What does this mean? If the transformer is bad, I shouldnt have any 24V anywhere right? I also used the multimeter at the transformer and only got 24V between the C and R terminals. Nothing anywhere else.