I may or may not happen right away. sometimes a clean skimmer may not work to it's full potential until it gets a little scummy. how long has your tank been setup? and what kind of skimmer do you have?
There may not be anything in the tank to skim out yet. Also, as was mentioned before, new skimmers often need a "break in" period before they really go to work. Once the skimmer is broken in, the bubbles going in the tank should subside some. Every new skimmer I've started up made bubbles for a couple of weeks before they settled down. Why? Not sure . JMHO.
Life is not measured by the number of breaths we take, but by the moments that take our breath away.
As loganj mentioned all skimmers are going to require an intitial break in or "seasoning" period before they start skimming effectively. This is due in part to residues left on the skimmer from manufacturing, assembly etc. Sometimes it takes a few hours, sometimes a few days, but rinsing the collection cup and mixing chamber in warm water for a few minutes can sometimes help speed up the process.