What is most likely happening is that actually are files still in that directory, but you just can't see them.
The most common reason that people experience this is the presence of "hidden" files in the directory. These often include ".something" ("dot files", like ".htaccess)) that many ftp clients do not show with their default settings. You can generally cause the files to be displayed by setting an "option" or "preference" on your ftp program to see the files; the exact method will vary from program to program (just check your ftp client's "help" or documentation).
Occasionally someone will forget that their web accessible directory is the "yourdomain.com", which is a sub-directory of their main "user" directory, and try to install a "one-click" in their "user" directory (which has a lot of hidden files in it!) Of course, this is not what they want to do, as the directory is not even accessible to the web, and they certainly do not want to delete the "hidden" files they have there.
You can also check the actual contents of any directory you own by logging into the shell with an ssh or telnet client and executing the command:
which will show you all the files that are in the directory, including "hidden" files. You can then delete those files using the *nix rm command