1- Using cheap ceiling paint. I have tried a couple of "ceiling" paints and they don't cover well with a roller. A good quality wall flat is better.
2- Dry-rolling is a possibility. Are you putting the paint on thick then working it out for an even coat? Not applying the paint thick enough is a common cause of interior paint problems. Your choice of tools can also affect how thick the paint is applied. Always use good tools, especially the roller frame and cover.