To check your system, there is a command to help identify problems.
Open a command window and type the following.
powercfg -energy
Wait for it to finish, make note of where the file is saved, and check it to see if you can change something or if your system has a problem.
As Agent Data mentioned, some systems are capable and some may not be. It might also show any software that is preventing the sleep mode from occuring.
It is always best to shutdown other utilities while running this test.