that's odd. what file format are you saving the image? If you're saving jpgs you won't get alpha. I personally save as .iff, but TIFF, TGA, and a whole bunch of other formats carry alpha into AE. Also, when you render, if it's a still frame, can you click on the show alpha channel button at the top of the renderview (it's the white checker circle next to an RGB circle) and see white/black outlines?

Also, be sure in Maya under "Render Settings>Renderable Cameras> Alpha channel (mask)" there's a checkmark. If that's off, maya won't spit out alpha and AE's interpret footage won't see an alpha channel.

I assume you're using Maya fluids? If the above doesn't get your alpha into AE, it may be an issue with your fluid's transparency settings?