This could easily happen in a clay if the clay is not fully saturated. Remember phi is equal to zero because, the increment of pressure goes into pore pressure, but if you are not fully saturated this will not happen.

You should look at your clay properties to assess all relevant conditions such as permeability, gradation (is it pure clay or does it contain silt and/or sand) degree of consolidation (OCR), and as the previous responder noted, degree of saturation.  If the test is run at a rate that permits drainage of excess pore pressures, you will see friction.  If your sample is very dense and dilating under shear, you may also see a frictional behavior. You should also check your shear device to assure that there is no frictional contact between the upper and lower portions of the shear box and that the load is centered over the sample without contacting the shear box.  Sometimes it's the little things that matter.