You have a treatable and actually not that uncommon condition. There are many reasons why it happens. I am reading an article on it as we speak. It says that the condition is called Anaorgasmic Anejaculation, which fits the description you mentioned.
This type of condition, according to the article, is psychological and you have nothing wrong physically. Perhaps you are somewhat not entirely into the situation to allow the process to occur or maybe it is just stress.
Check out the citation link because it offers more treatment options that you may not want to have displayed in a discussion board, but they do exist. Good luck!