Sometimes this is a sign that you are not on enough estrogen. Because it's estrogen which causes your lining to build up during the month. If there isn't enough build up, then there won't be anything to shed when you stop.
If you are finding that you are totally symptom-free and you've run bloods during your period (when your own E is lowest) and are getting 250+pmol then probably you are doing ok. But if you have any remaining symptoms or your bloods come back low (under 250) then this, combined with the lack of bleeding, is a sign your E is too low.
To complicate things a bit more, these things are very individual as well. What is 'enough' E for one woman might not be enough for another. For eg, when my E was 330pmol (during my period) on 6 pumps of gel, I had awful night time symptoms (inner tremors and shaking through the night, hypnic jerks when falling asleep, heart beating hard and fast). I was also not bleeding when I stopped my P.
It was only when I added in 200mcg patches to that 6 pumps that I started to sleep. Things are now much, much better with the symptoms - although not quite symptom-free. I just did bloods yesterday and should get the results any time, to see if I can increase further. When I increased my E like this, I also started to bleed again.
Which is all to say - 330pmol isn't low by anyone's standards for estrogen and HRT levels. But for some reason my body wanted higher levels. And this fitted with the fact that I wasn't bleeding on the lower doses.