You may have inadvertently selected Java Desktop Application
Creates a skeleton of a desktop application based on the Swing Application Framework (JSR 296). This template provides basic application infrastructure such as a menu bar, persisting of window state, and status bar. With this template, you can also generate code to create a GUI interface for a database table.
Rather than Java Application
Creates a new Java SE application in a standard IDE project. You can also generate a main class in the project. Standard projects use an IDE-generated Ant build script to build, run, and debug your project.
Addendum: Use File > New File > Java GUI Forms to add high-level containers, e.g. an enclosing JPanel, that can be instantiated from main()'s run() method.
For example, Main.main():
package temp;
import java.awt.EventQueue;
import javax.swing.JFrame;
public class Main {
    public static void main(String[] args) {
        EventQueue.invokeLater(new Runnable() {
            @Override
            public void run() {
                JFrame f = new JFrame();
                f.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
                f.add(new NewJPanel());
                f.pack();
                f.setVisible(true);
            }
        });
    }
}
And a NewJPanel built in the GUI editor (note "Generated Code"):
package temp;
public class NewJPanel extends javax.swing.JPanel {
    /** Creates new form NewJPanel */
    public NewJPanel() {
        initComponents();
    }
    @SuppressWarnings("unchecked")
    // <editor-fold defaultstate="collapsed" desc="Generated Code">
    private void initComponents() {
        jLabel1 = new javax.swing.JLabel();
        jLabel1.setText("Hello, world!");
        org.jdesktop.layout.GroupLayout layout =
            new org.jdesktop.layout.GroupLayout(this);
        this.setLayout(layout);
        layout.setHorizontalGroup(
            layout.createParallelGroup(org.jdesktop.layout.GroupLayout.LEADING)
            .add(layout.createSequentialGroup()
                .add(163, 163, 163)
                .add(jLabel1)
                .addContainerGap(157, Short.MAX_VALUE))
        );
        layout.setVerticalGroup(
            layout.createParallelGroup(org.jdesktop.layout.GroupLayout.LEADING)
            .add(layout.createSequentialGroup()
                .add(113, 113, 113)
                .add(jLabel1)
                .addContainerGap(171, Short.MAX_VALUE))
        );
    }// </editor-fold>
    // Variables declaration - do not modify
    private javax.swing.JLabel jLabel1;
    // End of variables declaration
 }