Great conversations but she said she does not think we emotionally connect well?

This girl and I have common friends. She moved to a different city a couple months ago from the city where I am currently at. We got connected through a common friend and had two calls.

At the end of the first call, she mentioned we do not connect well emotionally, but she was open to have another call. We had our second call, I thought it was a great call, but she said she didn't see us in a romantic relationship at the end and decided to not to have more calls on this.

I thought those conversations were great and meaningful conversations, she was incredibly open about her family situations when she was growing up, such as her mom was the bread winner and her parents do not have a happy marriage and they even thought about divorce when she was younger. She shared about her a period of time that she was going through depression that she had to see a therapist. I have reasons to believe she enjoyed those conversations too.

I know it's impossible to diagnose based on the limited information I provided.

What possibly went wrong? I just don't understand that how come great conversations don't lead to anything?

If those subjects which I thought matter don't matter as much, how do people connect emotionally?