There are two reasons that this may happen:
No traffic to subdomain
CloudFlare is enabled for a subdomain that does not get traffic. Through the hosting providers, CloudFlare can only protect traffic going to certain subdomains, specifically CNAMEs. If your traffic all goes to an A record like your root domain, mydomain.com, rather than www.mydomain.com, then even if you’ve enabled CloudFlare, the traffic is not passing through our network.
To resolve this issue, you can setup a redirect in your .htaccess file from the root domain to the ‘www’ subdomain. You will want to make sure the cloud is orange for the ‘www’ subdomain.