Do you have the particular quest showing in your duty list? By default it can fit 5 quests and is located in the right side of the main game screen. The game only shows map markers for the quests in that list. Normally it's autofilled as you accept quests and sometimes the one you were doing might be bumbed out of it due that. In your quest window, you can select which quest you want to stay sticky in that list by toggling the square right of them to yellow. You can also click it again to turn it it "deny" to stop some quest appearing in the duty list even by autofill.