We'd need to see your scene set up, both the Corona Multi Pass set up, and the native C4D save settings dialog. Need to be sure MultiPass is checked as enabled at the top for example, that each pass is checked as enabled, and in the native C4D save, you need to have the right settings to get it to save multipass elements (Multi-Pass Image must be checked, and some appropriate name, file format etc. set up in there).
Also, which version of C4D, which OS, which version of Corona, what method to save (from VFB, from rendering an animation so through the C4D save methods, and so on)