How lucid were you, on a scale of one to ten? It may be because you weren't aware enough. Or, it may simply be because those reality checks are ineffective with you; try a digital clock check next time you think you're dreaming. Or, ask yourself how you got to where you currently are. People often fail to retrace their steps in dreams.

I once had a very vivid dream where one of my reality checks failed (the finger-counting one), but I kept doing them until I confirmed the dream. I had to do three others.

But remember that you don't necessarily need a reality check to know you're dreaming. You became lucid basically on an epiphany, right? You don't always need to do a reality check, especially if you're in a place such as outer space or some strange city. You can just walk (or fly) away.