There's a few things that come to mind.
1. Make sure your light is casting shadows.
2. Make sure that in your background shader attributes that shadow mask is set to 1, or something greater than 0.
3. If you are using ray trace shadows, make sure you are using mental ray renderer, or have raytrace turned on in the software render settings.

Edit: Actually, it sounds like you're wanting to render out a shadow pass.