You don't say how old this piercing is, so I'm going to answer the best I can.
Some piercings will close down when the jewelry is removed, especially cartilage (noses and upper ears). They aren't healed shut, but the passageway where the jewelry used to be has collapsed, so to speak.
At this point, you can either work the jewelry back into it (which might hurt) or you can abandon it. You need to wait a few months for it to heal properly before re-piercing.
