I often run into this issue. I'm creating a file in Photoshop with masked layers etc. I want to make the final output available for some mock-ups in Illustrator, so I rasterize the layers and marquee select the entire area, copy and move to Illustrator.
Pasting the area in Illustrator flattens all transparencies, which is quite annoying. I'm left with my object and a flat white background.
Is there a reason for this?