With as little information as you provide no one can venture even a wild-ass guess as to why.
Did you get an Lost Connection or Load Manager error message pop-up?
Did you right click in the game client page and select - Submit this problem to WGT - and submit a report? And after getting verification the report was sent, close the report pop-up window and then click on YES to retry connecting right there in the game client.
If you just closed your browser instead, is your browser configured to clear it's various caches upon closing?
Did you have any other tabs open, processes or applications running in the background?
What browser do you use? What OS? What release version of Flash Player?