You had some bad luck. There is always a chance the heroes you try to capture escape, and you complete the dungeon empty-handed. You can only capture one card per room, so to maximize your capture chance, target the enemy you want to capture first before any other enemy. If you capture the wrong card you won't get another card in that room.
Event dungeons also give rewards in chests, so be sure to have free chest slots.
Better luck next time!