This is because your working yarn is at one end of the knitting when you divide your stitches to create sleeves, and you use the working yarn to knit the first sleeve. You probably bound off when you finished the first sleeve (depending on your pattern).
To continue knitting the second sleeve, you have to put the stitches that were being held back on your needles (which it sounds like you've done) and join your yarn so that you can knit the second sleeve. I'll outline how I do this, although others may have other comments for you on how to go about this (I just kind of made this up as I went along based on what made sense to me at the time
1) Place your stitches on your needles and position them as if you were going to begin knitting.
2) Identify the stitch that would normally have the working yarn attached to it.
3) Take the end of your yarn and thread it through a tapestry needle, and then use the tapestry needle to thread the yarn through the stitch you identified in Step 2. When you do this, make sure that the working yarn is on the correct side of the knitting (this will depend on whether the stitch is a knit or a purl - basically you want it to look as it would if you had just worked this stitch and were now going to continue knitting).
4) Use a loose slip knot to secure your new working yarn.
Once you're finished, you'll just undo the slip knot and weave in the tail end like you would with any other loose ends.
Hope this helps! Maybe someone else will have a better way to do this ... and then we can both learn the "right" way to join our yarn!