Susie, I had been having that problem,too. The needle threader would work until I changed the needle. Then not. When I took my machine in for maintenance, I asked if there was a trick to threading after changing the needle.
They told me that they just hit the needle down button and then hit it again to raise the needle. The needle is then in the right position for the auto needle threader to work. This has worked like a charm for both my Bernina and Juki. I was so glad I asked.