That does sound right. There is obviously a live and neutral supply at the rose you have changed otherwise the fitting wouldn't work.
Go to the next rose on the circuit and test for a live voltage with a neon tester screwdriver or non-contact voltage detector. If it lights up you can be sure the problem is with the neutral, if it doesn't the problem will be with the live.
The problem will either be with the connection in the next light fitting, the cable feeding it, or the connection in the fitting you have just changed (most likely because this is the last thing you changed and everything was working before).
Adam, December 2009