UPDATE: Some users are reporting they are being blocked inappropriately from following others. Test show repeated tries will sometimes succeed though. No word from Twitter yet.
Twitter has done this before, where you can still DM people, but your listing shows that you don’t follow them anymore.
The first thing to do is check to see if you are REALLY still following them by using doesfollow.com.
This is part of a large group of problems that Twitter causes then fixes, often fairly quickly. They are known as Twitter darkmode.
Sometimes, even after a problem is fixed, YOU will need to fix your interface to see everything working again. See http://bit.ly/QuickTwitterFix for tips on how to do that.
Also realize that if someone blocks you, it will cause YOU to unfollow THEM. But if you’re convinced no one has blocked you, and that it’s not just a Twitter display problem, let Twitter know via http://bit.ly/TWICKET and read this for how Twitter handles tickets.