Sorry -- I realise I didn't include some key info:
AE 126.96.36.199 (2014.1.1 release)
There have been some odd bugs with the collect feature in recent AE versions. One specific issue wouldn't even properly collect UNLESS the mouse didn't move at all during the process. (People would use the enter/return key to initiate the process and then only grab the mouse after it completed.) It's possible that your issue is related. It might not be. Try it without moving the mouse. I doubt that'd fix your issue, but it's worth a shot. Have you noticed issues like this with layered AI files or anything else?
Szalam, this is unlikely to be the same problem as the Mac OS event handler issue we are seeing with Collect Files, where not moving the mouse avoids an event collision. In that case the user should receive an error message that makes the problem very obvious. Doesn't sound to be the case here.
TheAnorak, best thing at this point would be for you to post a project (before collecting) and at least one PSD file that we could try to repro the problem with. Screenshots of the Project panel of the before and after states, the Collect Files dialog, and the resulting collected files would also be useful.
My suspicion is that you are encountering some unexpected condition that Collect Files doesn't account for, but we don't yet know the full condition of your project.