An industry as defined by many dictionaries is a particular form of economic or commercial activity. There are many industries around the world: the car industry, the computer industry, the clothing industry, the list goes on and on. Those are all examples of different industries. But when you are talking about the idea or concept of such commercial activity in general, you must say industry without the article because now it's working as a mass noun. A picture would help:
Notice that right next to industry, they used the word construction in exactly the same manner as industry. If you say a construction, you are talking about a construction site where something such as a house is being built. However, you would say construction without the article to refer to the process of building a building. And that cannot be quantified because it's just a foggy idea about building things and not something concrete like a real house.