While this is not a common occurrence, there are a couple of circumstances where this might happen.
It's possible that you've configured a message "filter" that is moving the mail. Filters can be found in several different locations, depending on if you are using a desktop client or the web interface. If you might have created a filter, simply remove or edit it.
Alternately, it could be that you have configured an email client for access via the older POP (either a desktop client, phone, or remote from another account) protocol. POP is a one-way communication path, which means that your client will pull data from the server but not put it back. If it's possible that you're using a client that's been configured for POP access, you’ll need to switch to IMAP. You can do it yourself using our client configuration details or alternately contact your local support personnel for help.