There could be several reasons.
(I assume you're not expecting the RGB gamut to match CMYK output.)
Have you tried printing from a PDF - for a desk-top printer use the Adobe PDF Preset > [High Quality Print]
I check the colors, I sure that's not the problem.
I'm using Pantone colors and the color management is 'Japan color 2001 coated' in both indesign and illustrator...
(even tried the [High Quality Print] to but nothing happened)
Thanks for your comment!
Are you using spot colours (as opposed to CMYK)?