No fact or data is yet available to explain why the Zuma satellite did not deploy. According to SpaceX, the rocket Falcon 9, performed perfectly and delivered Zuma. They blame Northrop Grumman, the company that contracted SpaceX to perform the launch, for the failure. SpaceX claims that the release mechanism for Zuma was a Northrop Grumman device. However, all this is speculation, and even the fate of Zuma is unknown, where some claim it fell back to Earth. SpaceX President Gwynne Shotwell said “For clarity: after review of all data to date, Falcon 9 did everything correctly on Sunday night. If we or others find otherwise based on further review, we will report it immediately. Information published that is contrary to this statement is categorically false. Due to the classified nature of the payload, no further comment is possible.”

Northrop Grumman released a short statement saying “This is a classified mission. We cannot comment on classified missions.”

SpaceX is a privately-owned space exploration company owned by Elon Musk, and performs scheduled launches into space delivering commercial and US government payloads. SpaceX designs and maintains reusable rockets, that reduces the payload delivery costs. SpaceX has performed three deliveries since ousting the contract from United Launch Alliance (ULA) owned by Boeing and Lockheed Martin.
According to unconfirmed reports, the payload failed to separate from the second stage of the SpaceX Falcon 9 rocket, and could have fallen back to Earth, which would burn up in reentry through Earths atmosphere. According to SpaceX, the release mechanism was manufactured, tested and integrated by Northrop Grumman and is therefore not a SpaceX issue. Another report claims that Zuma deployed successfully but did not activate.

It is important that the blame be placed in the right place, since SpaceX intends to continue all scheduled launches, and needs to prove high success rates, not just cheaper prices, to remain competitive.

Another factor that separates this mission from others is the secrecy behind it, nothing is known about Zuma and it is shrouded in classified mystery. With over 16,802 satellites in space, adding another one, classified or not, will make it hard to know exactly what functions each piece of equipment performs.
SpaceX is still on mission with its next payload that will be delivered on the upgraded Flacon 9 called Falcon Heavy.