There is a story in this game, just do the main class missions, there are 100s of sidequests in this game which string little parts of story together, Ifrit and moogle both have a story line also.

If you aren't very high though you won't have experience much of the story, something which should be addressed.

FF11 also suffered from a lack of low level storyline aswell, hopefully they will sort this out by the time 2.0 is launched.