Let $\cM_r$ denote the moduli space of semi-stable rank-$r$ vector bundles with trivial determinant over a smooth projective curve $C$ of genus $g$. In this paper we study the base locus $\cB_r \subset \cM_r$ of the linear system of the determinant line bundle $\cL$ over $\cM_r$, i.e., the set of semi-stable rank-$r$ vector bundles without theta divisor. We construct base points in $\cB_{g+2}$ over any curve $C$, and base points in $\cB_4$ over any hyperelliptic curve. We also show that $\cB_4$ over a curve of genus $2$ consists of $16$ reduced points, which are in canonical bijection with the set of theta-characteristics of $C$.