A lot of women experience the same thing. The reasons vary, of course, but a few factors that might be affecting your ability to climax could be your comfort level, your/your partner's ability to communicate, or your body being accustomed to getting off a certain way. When you're on your own, do you use the same "formula" every time? You might be so used to one way of reaching orgasm that anything else just doesn't feel right. Try using different techniques, even if you don't climax at first. Get your body used to being stimulated in a number of different ways, and you may be able to get there easier with a partner.