This posting is older than 6 months and can contain outdated information.
Do you see this happing on a MacBook Pro with a Retina screen by any chance? These no longer ship with a built-in IR Receiver.
Using the Apple Remote with these requires Remote Buddy and a supported, external IR Receiver connected via USB. You can find a list of currently supported IR receivers on the "Hardware" page of the Remote Buddy website.
Alternatively, if you have an iPhone, iPad or iPod touch running iOS 8 or later, you could also use the free Remote Buddy Mobile app to control your Mac.
Best regards,
Felix Schwarz