Any chance you have a "?" question mark or query string as part of the path to your CSS file? Apparently, some proxies don't cache files with query string parameters (see comments at end of article).
Here'sAnd, here's an example for adding expiration headers to your htaccess file.
<IfModule mod_expires.c>
ExpiresActive On
# CSS, JavaScript
ExpiresByType text/css "access plus 1 month"
</IfModule>