Peter's right. But if you open your original document in Word and do a Save As an HTML (.htm) file, the footnote shows up. So that's what I would do if it's vitally important to keep the footnote text near the topic it's associated to (i.e., if there are lots of footnotes).
If there are only a few footnotes, I would not do that, because I would much rather stick forks in my eyes than save Word as HTML. There is another Word feature that might be helpful - convert footnotes to endnotes. If you did this, you would get one page (one topic after converstion to Robo) with all the footnote text on it, which you would then need to copy and paste into the appropriate topics.
Both of these are workarounds, but I hope one of them isn't too painful for your situation.
That's a nice solution but it brings you into the world of Word's idea of HTML, and it ain't good. You need to do some cleaning up to avoid problems later on. That's covered in my topic on Importing.
See www.grainge.org for RoboHelp and Authoring tips