So as FloppyKnockers mentioned, you don't have the hot in the ceiling for the fan. And day_trippr has provided a common solution. When I rewired my house, I put in the extra hot wire for 2 out of 3 of the rooms with fans as I didn't know to use 12/3 wire when I did the kitchen. All the smart switches I have added need a neutral and I think that is standard. You have a neutral in the box. It's not clear what's behind the plate. It would be helpful to see behind the switchplate to see what wires come in and out. That switchplate looks made for that radio switch, and perhaps the junction box was an "old work" style and they cut out the space for it from a single gang switch? The receiver in the ceiling probably was wired for either a hot for the fan too (the three unused wires) or just for the light (two wires used). I've seen a number of switches that do that. What's odd to me is that the switch is hot. Floppyknockers could be correct that it controlled an outlet at some point. Code is either a light switch operating an overhead light or a switched outlet for a lamp. So if it was a switched outlet originally, and then they changed it out, there's a plug somewhere where there's an extra incoming power supply from the switch and it would be capped off. But people do stupid things so they could have buried it in a wall or something, never count out a clueless homeowner when it comes to the electric. Now if there was a switched lamp, that ceiling box was probably not there. Maybe they had an easy box to run power from to a new ceiling box but didn't want to run it through the wall to a wall switch. Like perhaps they would have had to cross the ceiling joists to get to the wall where the switch is. That can be something of a bitch to do, I try to avoid it but it can be done with a long flexible bit, judicious holes, and fiberglass tape and spackle. What's above the ceiling? An attic could be easy to get power to where the fan was but also probably easy to get to the wall switch. An upstairs room, maybe an outlet lined up with the bay that the fan was in and they dropped a line through.
I'd first be sure about where the power comes from to the ceiling box and figure out where that switch went. You could check the outlets around the room, and it's possible there was more than one on the switch. I ran a three way switch in our living room to two outlets for two lamps. I didn't bother to separate each dual outlet so that one outlet was powered all the time, it was already complicated enough for me! And be sure you've got the right breakers off! Electricians think outside the room. Three different circuit breakers controlled the power in my living room. Imagine the house is just framed out without walls. That's where the electrician was working. And the homeowner can really muck it up after that!
Just some possibilities without having complete information, there could be other possibilities as well.