Well, you could be using blending modes and other features that require flattening to retain appearance. Impossible to know without seeing your artwork and layer stack.
I think the »Layers« you can check in the Save As dialog are not Acrobat Layers, but simply the Photoshop Layers and this affects the file only if »Preserve Photoshop Editing Capailities« is checked in the PDF dialog.
Answering both you and Mylenium,
I don't think there is blending going on. I have saved it layer by layer as individual pdfs and it's worked fine when I bring them in as layers in Acrobat Pro X or Bluebeam.
Pfaffenbichler, you may be right. Basically what you are telling me is that Photoshop can't save Acrobat layers into a multi-layered pdf, but simply in a format that allows the pdf file to be reopen with layers in Photoshop. That seems strange that Adobe would not be able have Photoshop save into the newer, layered, versions of the pdf format it created and have the layers show up.
Unfortunately, the Acrobat team chose a transparency and blending model that is incompatible with Photoshop's layer blending model (over our strong objections) -- so we can't save PDF layers and preserve appearance.