If you're partied together, the loot that drops from monsters actually goes to the treasure pool and not directly to your inventories. After five minutes, the loot is then automatically divided between the party members, unless its lotted first. You can see your treasure pool contents in the same menu you use to attack mobs (it'll say treasure).
Alternatively, your inventories could be full. If your inventories are full, nothing more can be added.
I don't know your circumstances without more details, so I can't say this is what's going on for you, though.
edit: beaten by xypin. I need to type faster.
Edited, Oct 4th 2012 8:02pm by Altair