Iluustrator to PSD. Layers are combining.

[handrawn]

without looking at your file: I would guess that the PSD does contain the actual layers from your illustrator file; the reason it does not look like it does in illustrator is that the illustrator list is showing not just the layers, but the objects on those layers as well - vector objects do not transfer to the PSD format, they as rasterized and combined onto the layer they belong to

the [perhaps not very practical] solution is to ensure each object has it's own layer in illustrator