You shouldn't be.
You probably never have relaxed as deeply as you can get with yoga nidra (save for in your early childhood, or something).
I think I've because I'm doing Yoga/relaxation lessons with a very good teacher. Nevertheless, I've no problem doing relaxation or even meditation alone. I only need a good background music and they are very hard to find (most yoga CD are crap).
Also, english si not my native language and I appreciate relaxation in my own language ;-)