The server favorites code is in the engine, but the UI module is responsible for calling into it.
Are you using jamp or OpenJK? Which OS?
Sometimes it will produce error codes into the console.
The game writes the servers into a servercache.dat file before quitting, if that's not there, then it's an obvious problem.
If you run with fs_debug 1, you can see in more detail what it's trying to do in terms of filesystem calls.