4WD won't engage - not working?

I have a 2002 gmc sierra 4x4 that won't engage into the 4wd. It is a electronic system. I push the button to go from 2wd to 4wd hi and the light will flash for a few seconds and the seem to be engaged. I can even hear what sounds like something engaging, like a little clunk. But when I proceed to drive there is no power being sent to the front wheels. I know this because I was stuck in a snow bank and the only tires spinning were the rear. There is no sounds or grinding of any kind. No lights on in the dash computer saying something is off. Same thing happens when I go into 4wd low or 4wd auto. There is just no turn up front. Any thoughts?