This probably means that the font necessary to produce a bold version of the symbol in question is not available on your system or not installed in a way that / can use it. For example, bold versions of the AMS extra symbol fonts msam and msbm do not currently exist, so boldsymbol||square|| will merely produce the same result as square alone.
Also, the weight of the fonts cmmib and cmbsy is `bold' rather than `bold extended' as for cmbx. Depending on the symbol in question and the resolution of your printer (or previewer), a symbol that was taken from one of those two bold symbol fonts might be nearly indistinguishable from the non-bold version.