I think it's pretty safe to assume that it is simply a recall problem. It's been shown that everyone dreams every night. If you don't remember dreaming -- well, it's just that you don't remember, not that you didn't dream.

Have you tried keeping a dream journal? Have you tried telling yourself "I will awaken after I dream and I will remember the dream" as you are going to sleep? Dream recall is something you have to put some effort into -- it may come easily for some people, but obviously you are not one of those.