Couple possibilities. One, check your filter direction on your relationship to make sure it is the right direction. Second possibility is that one of your dates contains time stamps that are other than midnight. True date only columns have a time component that is 0, which is midnight but if your dates in your fact table have a real time component other than midnight, they won't match up.
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As mentioned above, this may caused by something wrong with your table relationship. Could you share some screenshots of your table structure and relationship?
Hi vannikannan ,
After you change Date/Time to Date type, can you build relationship between the two tables? If still can't, you may create a calculate column use
Result = Format(Table[Column],"MMYY")
Result = Date(Table[Column])