That usually happens if a firewall or router is blocking incoming connections.

You can check your OS X firewall in the Apple System Preferences (Sharing-> Firewall), and for a router situation, you'll need to set "port forwarding."

Search these forums for "accept incoming" or the name of your router to see specific setup examples.

Sorry for such a general reply: for a better one, see the forum rules for examples of how to provide the necessary information for a clearer answer.