I’m assuming you are using a custom mesh? Do you have collision setup in the mesh itself? Go into your mesh → setup collision there and also make sure you have simple collision on the mesh. (Toolbar → Collision → add simplified collision).
Also check your physics asset if its a skeletal mesh. You will need to click on the physics volume and make sure your collision is setup there as well. (Also make sure simulation generates hit events is checked in the collision section of your physics asset volume.