Because there's a conflict between Nautilus Elementary and Compiz.
Solution:
In Nautilus : select menu Edit->Preferences->Tweaks -> under Application uncheck "Enable rgba transparency".
In CCSM : Enable Windows Decoration, at Windows shadow line, replace "any" with "any (class=Tooltip | Menu | PopupMenu | DropdownMenu | Unknown)" (without quotes).
If there's still no shadow, restart Nautilus by typing this line in Terminal : "nautilus -q" (without quotes).
Because there's a conflict between Nautilus Elementary and Compiz.
Solution:
Hope it useful for someone who need!