You are just having bad luck, but your specific amulet may be especially bad for rerolls.
Different affixes have a different roll probabilities based on their "weights", discussed here. Most of 16 affixes available on Amulets are of same weight, with +X Damage being 1.5 times as probable, Main Stat and Vitality - 4 times, and +% Elemental Damage TEN times as probable as 12 others.
Let us take two cases: an average one and a bad one. Average would be you having Elemental Damage (x10), Mainstat (x4) and CHC (x1), and trying to reroll Regen (x1). That means your chance to get a socket is 1 of 16.5 (weight of socket against the sum of all rollable affix weights). Bad case would be an amulet with Mainstat (x4), CHC (x1), CHD (x1), and rolling off IAS (x1). That puts your chance to 1 in 25.5! So, it all boils to the following probability table:
Chance to Chance to fail for
Weights succeed on 1st try 10,... 20,... 30 times in a row
--------- ---- ----- ----- -----
1 to 16.5 6.1% 53.5% 28.6% 15.3%
1 to 25.5 3.9% 67% 44.9% 30.1%
You are just having bad luck, and not even that bad - even with maximum probability (having +Elem, Mainstat, Vit) failing 30 times in a row is 9.9%, while succeeding on the first try only 7.4%. If you indeed rolled a socket on first try quite often before, consider this a karmic payback :-)
Less-important-than-before practical advice:
After you enchant and item and lock in its remaining properties, your affix weight sum is fixed forever. So the only way to increase your chances is to keep as many "heavier" properties locked as possible, and rerolling "lighter" one. Of course, you usually want that Elemental damage on your Amulet anyway, but if you're thinking of rolling off either Element or something "light", remember that it will cost you approximately 50% more materials to get a Socket if you have to brave the Elements for it.