It's definitley possible to have a lucid dream, only to forget it on waking. This is part of the reason why it's so important to have good dream recall. Though I don't know if that's what's happening to you.

If you don't already do so you should start keeping a dream journal, and you might want to try this subliminal recall mp3 (http://www.dreamviews.com/community/...ad.php?t=55276) I find it works well for me; many thanks to Ninja9578 for creating it.