If you are using a standard Eclipse install, or the FusionDebug standalone bundled IDE, but not Flex Builder, carry out procedure FDS – 92 linked below.
If this does not rectify the problem, you may need to alter the Lingon startup command for ColdFusion to include the Java options to enable debugging. The startup command should read as follows:
N.b. this is all a single line. This Java configuration listens on port 8777 for debugging connections. Make sure your FusionDebug Debug Configuration within Eclipse reflects this in the connect tab.