Using a DXF file to make a 3D map in QGIS

This might be a long shot but I’m trying to make 3D map to render from a DXF file in QGIS (3.14). The options I get when I press (View>New 3D map view>configure>terrain) is following: Flat terrain, DEM (raster layer), online and mesh.

The only one that can render for me is flat terrain. I suspect that I need to convert my DXF file to DEM but DEM is raster based while my DXF file seems to be vector based?

I tried to to use the vector to raster tool (Raster>Conversion>Rasterize(vector to raster)) and then to use that file to make a 3D file. The challenge is that my newly created raster file is invisible and I can’t see it. Is there some other way or am I doing something wrong?

If I use the QGis2threejs plugin I get the following export:

It is a model of a quarry