According to the screen shot you're using the Excel Online web app. The web apps are free conveniences which lack most of the significant features found in the desktop software... editing Headers & Footers being one of the unsupported elements. This is from the Excel Online Help:
Insert a header or footer
Excel for the web preserves and prints headers and footers. You can open the Excel desktop app to insert, edit, or view them.
If the workbook has a Header/Footer created in a desktop version it can be viewed in the web app by going to the Page Layout tab & clicking the Page Setup tool.