Hi Sebastien,
I'm not sure anything is "wrong". Whether denoising is possible for a given dataset / experiment depends on a lot of factors (including the MR pulse sequence you chose, the number of trials / experimental design, etc.).
If you can show us what your design matrix looks like, that could be insightful. Also, if you have a picture of one of your raw MR volumes, that might be helpful. It might be that you are dominated by thermal noise, which is a type of noise that GLMdenoise can't really help you with. Also, block designs with many trials tend to have high estimation power, so it is less likely that denoising will substantially change your estimates.
Kendrick