There could be a couple of reasons;
1.) The pistons on your caliper are sticking (probably because they're dirty)
2.) You need to bleed your system
These are the two main reasons for your problem. Try bleeding and then if that didn't work, take your calipers and pads off and scrub the pistons with a toothbrush (preferably not the one you'll be using before bedtime!). I hope that helps a little.