This happen for me when I lose my internet connection.  cgminer will continue working and may find a block but when my internet connection is back, Gridcoin will sync with the network and find the block I found was already found by someone earlier then me (when I was disconnected), so the block payment will disappear from my wallet.

It can also heppen if you find a block at the same time someone else, the fastest one to submit it win the reward.

This is valid for all coin mining, not just Gridcoin