It is both grammatical and sensible, but out of context, it is not unambiguous. It could mean either of the following:
I am interested in the concept of nothingness.
I am not interested in anything.
Note that in the first case, “nothing” here actually is a “something” in the context of “showing curiosity or concern about something,” since it’s being used as shorthand for “the concept of nothingness.” The English word “nothing” can have that meaning.
In the second case, this is a very common usage of the word “nothing” in the English language—much more common than the first. English speakers very often say “X nothing” rather than “not X anything,” where X is some verb. “He saw nothing,” “she said nothing,” “I got nothing,” “Touch nothing,” and so on are all very common statements. In a sense, “nothing” here is being used almost literally as “no thing,” and the negation in “no thing” is replacing the “not” that would have negated the verb. But to English speakers, it’s just the more comfortable way to express that the action X has not been (will not be, should not be, etc.) applied to any objects. Certainly we can and do say “not X anything,” but “X nothing” is, I think, more common. (Note they are also rarely literal, “nothing” usually implies “none of the things relevant in context.”)
In any event, it is not mandatory to supply exceptions so that there is a “something” for “to be interested” to apply to. You certainly can, if that is the situation you want to describe, but there’s nothing wrong with the original formulation of the sentence.