It can happen if the server is not configured to deliver the types of videos you're trying to play. In order to make this possible, open the .htaccess file from your site's root folder, or create it if it doesn't exist, and add the following lines:
AddType video/ogg .ogm AddType video/ogg .ogv AddType video/ogg .ogg AddType video/webm .webm AddType audio/webm .weba AddType video/mp4 .mp4 AddType video/x-m4v .m4v
If the videos still don't play, it could happen because the server is set not to read the .htaccess file. In this case, you might need to contact the hosting provider and ask them to add the above mime types for you.