The Space Kraken is surprisingly good at absorbing radio waves.
...but seriously, it's a small battery powered vehicle with a tiny antenna, and it's trying to be heard from between 50 to 100 million kilometres away, and even in the best case it's just been tumble dried, blowtorched, hammered with explosive charges, and then dropped a couple of metres. I wouldn't be surprised if it lost some signal strength.
Mars Express was supposed to record the doppler shift of the carrier wave on descent, so should be able to pick up any landing signal. We'll see when they release the results.
You make it sound like the signal was lost in between somewhere :)