I would suggest you to read my answer of the question I need rules to drop some malicious Apache, where is explained how to download and configure OWASP ModSecurity Core Rule Set 3.x.
However, here is simple example of the rule that you are asking for:
# Deny requests without a host header
#
SecRule &REQUEST_HEADERS:Host "@eq 0" \
"id:160, phase:2, log, drop, deny, status:403, \
tag:'requests-without-host-header'"
The most important thing in the above rule is the parameter phase:2, thus the access will be denied before the response, but you will be able to white-list the rule at certain circumstances (if you need that) on phase:1. You can use nolog, also the final result of drop, deny and status:403 is almost identical and you can decide to leave only one of these three arguments.
Checkout rule id:160 in my repository pa4080/www-security-assistant for more complex example. Also you may want to read the section Missing/Empty Host Header in REQUEST-920-PROTOCOL-ENFORCEMENT from SpiderLabs/owasp-modsecurity-crs 3.x.