What make/model is it?
I've had a similar issue with my RCA RS2052 system:
Great thing, but for the longest time I had some CDs stuck in it. I just tore it apart yesterday, but I wasn't about to fully dismantle the CD slot mechanism cause it's way complex.
But if you got an RCA CD player, best thing to do is tear it apart and see if there's something that is broken or loose. If you have the same model I have, I could give you a hand in taking it apart.