Version of AE? Output Module settings? OS? Did you try using the Adobe Media Encoder? You have not given us anything to work with. You might have as well asked "Why is watermelon?"
Sorry, I am new to this. AE CS6. It's an iMac running Mountain Lion. 48.000 kHz, 16 bit stereo. I don't know what Adobe Media Encoder is.
And watermelons are delicious.
There could be a lot of reasons for this.
Your video may not have an audio track: either no audio at all, or the audio is embedded in the video track; AE needs a separate track.
You may have the audio turned off: check for a little speaker icon with the layer in the timeline, and turn it on.
You may have compressed audio -- mp3, ac3, etc -- and AE doesn't play nicely with it. Turn them into aiff or wav files.
You didn't say where you're noticing this lack of audio: in AE, or after rendering.
....aaaaand it's tough to know the location of that audio output box you checked, because you didn't say.
The audio was embedded in the video track.