There are two potential causes:

1) You are not using the full Javascript tracking code. Without Javascript, we can't log referrers.

2) The code is installed in a frame rather than the actual domain or URL you see in your browser's tool bar. When the code is in a frame, the referrer for that framed document is the parent document.

If the frame and the parent document are on the same domain, then you can set the clicky_custom.iframe setting which tells our code to get that data from the parent. However, if the frame and the parent document are hosted on different domains - for example a Facebook application the parent document is Facebook but the app itself resides on your own domain - then the clicky_custom.iframe option will not work because of cross-site scripting security built into modern web browsers.