I had this same trouble once after a complete brake job. I had actually put the calipers on the wrong side of the car. The will mount fine, but the bleeders will be in the wrong position. If I remember right the LF and RF calipers and LR and RR calipers will mount on either side the only difference being the position of one of the bleeder screws. If the screw is on the bottom you have them reversed. If this is done you can bleed the brakes all day, but you will not get the air out since it will be trapped at the top of the caliper. If you mounted them incorrectly you will have to switch sides. On the front caliper the third bleeder screw (the one not in the center of the caliper) should face in toward the car and be at the top. On the rear the screw should be top and facing in.

Greg N