Mine is very sensitive and takes some time to warm up to be reasonably accurate in the very low ranges.
If you just have leads on the inputs and no short, it shows completely random numbers. When it is shorted with a wire, it still shows random readings but the values are lower. Thats because its picking up local electrical charges in the air, and RF.
In some places, with them open, it shows pretty high readings. My other meters do that too.
Thats just the electricity thats there, they are not making it up.
For the terminals to be shorted, the shorting conductor needs to be short and ideally, also flat. The best short is a piece of flat copper sheet with holes at the appropriate places. Some Deoxit also helps.
A piece of wire of any real length isn't a short, its a loop antenna.
You know what I found to be interesting, put an LED on there while its set to the low voltage range, and expose it to light. You'll see the tiny amount of current generated by the device.