I organize my collections by year. Inside the year collection set I then organize my various collections of photos.
Currently I have 10 collections from 2006 to 2015 and never had a problem creating collections within them.
This year I have created 2016 collections. However it will not allow me to create another collections within.
2016 does not appear in the dropdown.
What version of Lightroom? What operating system?
Can you or can you not right-click (or Cmd-click for Mac) on the actual collection set name 2016 in the Collection panel and then create a collection within it that way?
Can you or can you not create the collection not under any collection set, and then drag and drop the collection into the 2016 collection set?
By the way, your words are talking about collections, but your problem as shown in the screen capture seems to be with Collection Sets, is that part of the problem?
Is there actually a Collection Set called 2016 ?