How are you trying to "import" these AE comps? I can think of a few different ways you might be trying this and what you are actually doing can make a big difference in what we need to tell you.
What versions of the software do you have?
The best way to bring multiple After Effects comps into Premiere Pro is to select them in the After Effects project panel, then start dragging, Alt+Tab to bring Premiere Pro forward and drop them in the Project bin.
Otherwise if you use the File > Adobe Dynamic Link > Import After Effects Composition command, you will get a different dialog that allows you to navigate to the After Effects project file and select multiple comps for import at once.
The smaller, more common Dynamic Link dialog that doesn't have the file navigation pane has a bug that doesn't allow you to select more than one comp at a time. Please feel free to file a request to add this functionality: http://adobe.ly/feature_request