If you're using Lollipop or the latest versions of KitKat I believe, the SD card has different restrictions than before, and if the app you are using hasn't updated the way it writes to SD cards, it won't be able to do so. Basically, now apps can't write/modify stuff from the SD card unless it's inside a folder created by the app itself. For instance, you should be able to save torrents to a folder created by the uTorrent app, BUT not to a different location created by you or to the Downloads folder (unless you're rooted and you've hacked your phone to allow full access to SD card to all apps).
That, or your SD card could be corrupted/damaged. I'd try switching SD Cards to see if this is the case.