Tension is not just something you spring on readers near the story's climax
Build up tension throughout the story. Set a clock to some impending event, and refer back to that clock again and again. Establish your tension early, before your reader can lose interest. Some sort of tension is usually key to keeping your readers engaged. Build up to important events using ominous imagery. But don't go too fast – readers need to feel the full extent of the story's tension before arriving at the climax. Taking the time to describe after introducing an ominous event will actually help create suspense.
My writing instructor was a fan of establishing some sort of "clock": a timer counting down to the climax. This is a strategy that I've found works well with short stories, although longer fiction may require multiple clocks; or else the actual source of the tension may shift as the story progresses. There are many ways to establish tension; certainly there's no hard-and-fast rule. I've included a few clock/tension examples, for your enjoyment.
The afternoon of the day before Aileen's death, the stray visited her yard again. He was a large dog of indiscernible breeding, with black fur that looked like it had been ruffled the wrong way. He – she was sure it was a he – was tugging and pawing at something in the corner of their small yard, churning up so much of the Indian summer dirt that Aileen couldn't discern what it was after. As she drew closer, unsure whether or not she should shout, the dog caught her eye, huffed, and spat a little onto the bone-dry ground before padding away toward the main street.
That's odd, Aileen thought. I didn't know dogs could spit.
Only two paragraphs in, we already have an impending tragedy – tomorrow, Aileen's going to snuff it – and two mysteries: 1) how she will die and 2) the significance of the strange black dog in the yard (which observant readers will probably identify as a Grim). Instant tension!
The wedding between my younger sister and the king was not for another two months, but already the goods for the affair were beginning to arrive: shipments from Albania, Portugal, even as far off as the Orient. If my sister and I were wholly satisfied with the preparations for this affaire grande, my mother was not. She fussed that the wedding gown was of too poor a quality, that my sister's tiara was too small, that my sister's dowry would shame the family.
The gown, in fact, was not poorly made (it stood up to lively sprints across the garden with more staunchness than my well-used frock), the tiara was as heavy as it could be without snapping my thin sister's neck from her shoulders, and Father had procured over a thousand gold for the dowry. In the face of these inexorable arguments, our mother inevitably fell back on the one fact that was, in her mind, indisputable: that it was decidedly unlucky for the younger sister to marry before the elder.
I did not truly believe I was doomed to a premature burial unless I found a husband in the space of two months, but there had been precedent. Mother's old maid older sister was trampled by a mule at the tender age of twenty-seven, a mere two years after my parents' wedding.
A more subtle clock – the impending wedding between king and younger sister – coupled with a vaguer tension. Right now, we're certain whether this tension stems from actual bad luck associated with not marrying in the right birth order, or simply from the mother's insistence that the unwilling narrator get hitched (which has the potential to result in all sorts of humiliating, tense, and angsty situations. Insert fiendish squeal of authorial glee here).