The side key (camera key, lock key or volume key) could get stuck under the back cover. Remove the cover and push the side key from inside of the cover to outside to make sure it is in the right position. Put the cover back and try again. Be careful that you do not touch the side keys when placing the cover on the phone.
Check the user guide for instructions to remove and insert the back cover on your phone.
The figure below shows how to insert the back cover e.g. with Lumia 520. Press the bottom corner of the back cover against the bottom corner of your phone and insert the edge with the keys first.