Same thing happens to me sometimes. I'm setting up games between 2 computers on my internal LAN, which I would think should be the least problematic way, but apparently not. For me though if I close both sides and relaunch it eventually gets connected. Both computers running exact same versions of game components.
Don't know if they're related, but I also have the issue of almost every multiplayer game gets interrupted by a "connection lost" message that I have not been able to figure out a resolution to. It's not my LAN, everything else on it works perfectly. Even if I try using a crossover cable between the two computers so it totally takes the network out of the picture it still eventually fails with a "connection lost." Would love to figure out how to correct this.