You are not alone. I also was surprised when I found no NG+ options after beating the game. IMO it's an industry standard for RPGs now, has been since ChronoTrigger IMO.
It's probably the second most requested addition to the game. The first being new camera angles and zooms.
New Game+ is not a standard feature in the genre. At all.
Demon's Souls has a New Game+ and also an Action RPG.