It's 'cos you haven't given it enough friendship. ;)
Roller skating does contribute to walking activities, like egg-hatching. So don't worry!
There is no good information yet about exact friendship boosters since the hidden data hasn't been extracted out of the game, but what I can tell you is that walking doesn't contribute much to your Pokemon's happiness.
It was only about +1 in every generation, except BW and BW2 where it was +2. So I wouldn't rely on walking since, evidently, they don't contribute much. There are other ways, that contribute much more.
Try doing the following things:
- Giving your Pokemon a massage in Cyllage City
- Use vitamins! They cost a lot, but they can contribute quite a lot to your Pokemon's happiness. Especially if it's got low friendship.
- Levelling it up.
- Let it punch the stuffing out the 'Soothing Bag' in Super Training, despite it having no arms. :3
- Using EV-lowering berries - if you're using your Azurill for competitive use I would recommend not doing this.
- And of course, the Soothe Bell will do shtuff. :3
These will increase your Pokemon's happiness.
Try not to make it faint, let it eat bitter medicine, or trade it as it will hugely deficit your Pokemon's happiness.
And though it may not be much of a help, Laverre City has a woman that can rate your happiness. Check on this page and Ctrl + F for "It's amazingly" and it will come up. :3
Hope I helped. :)
Source: Above Link