Not all eggs in a nestbox always hatch. In Eastern bluebird nests, about 17% of eggs do not hatch. (BNA). Cornell's The Birdhouse Network says that 10-15% of nests contain unhatched eggs. Sometimes you don't know an egg didn't hatch because the parent removes it. Reasons can include the following:
The eggs were not fertile (because one or both of the parents was infertile.) Note: when bluebirds realize the eggs are not viable, they may build a new nest on top of the other eggs, remove them, or bury them in the original nest material and lay more eggs. In this case, the parents may have a series of unsuccessful broods where no eggs hatch (unless the male was infertile, and one or more eggs were fertilized by a different male due to an extra-pair mating.)
The egg was a dwarf and lacked a yolk, or was a rare double yoke egg. (See weird eggs.)
There was something wrong with the embryo and it died after development started (e.g., malformed or defective in some way, or could be due to temperatures, etc.)
The eggs were addled (possibly rolled around too briskly when the female was startled, or suffered other trauma).
The eggshell broke (e.g., pecked by a house wren, or cracked allowing bacteria to enter.)
Half of the eggshell from another egg that did hatch was not removed by the parents, and got stuck on top of/encased an unhatched eggs egg and possibly prevented the embryo from breaking out (see photo.) If that were the case, there would probably be some evidence of pipping.
The eggshell was weak. (Try adding calcium to suet mixes or dusting mealworms with calcium.)
The eggs were poorly incubated (e.g., because the nest was disturbed too much, food was scarce so the parents had to leave more to forage, the female was widowed, the female was inexperienced, the male was off fighting and was not feeding the incubating female.) To avoid this cause, do not monitor during the early morning or during bad weather.
The egg belonged to a different species (e.g., a cowbird egg pushed to the side by the parent who recognized it; or an egg(s) leftover in a usurped nest where incubation was interrupted.)
Depending on when incubation begins (on the last, or next to last egg), eggs in the same nest can hatch a day or several days apart.
It also takes a while for the bird to break through the shell.
Different species have different incubation periods, which can vary within a species due to temperature inside the nestbox. See the typical nesting timetable for the species of interest.
The female had a disease. In chickens, Egg Drop Syndrome, avian influenza,Newcastle disease and infectious bronchitis can all impact eggshell and internal egg quality.
Differences among cavity nesters - I find bluebirds and Tree Swallows tend to leave unhatched eggs, while Black-capped Chickadees remove them from a nest.
Birds are wonderful indicators of our overall environmental health, and as the environment is stressed and biodiversity reduced through habitat degradation and loss, the most sensitive species send out the signal first. - David Seideman, Audubon magazine, 2005