There are a few different reasons why that might be happening.
It could be the surround sound setting that you are using, the way that you set up your speakers, the way that your speakers are connected, or something else.
To start, check out the Troubleshooting section on page 111 of your owner's manual where it talks about solutions for getting no sound from the surround speakers - it could be that you have the receiver set up to think that you don't have any surround speakers.