Missing records in the Measure Group

I have records in my measure group 1 where the link (foreign key) to another measure group2/dimension is null sometimes. When I process the cube, measure group 1 is not bringing those records that have a null as a foreign key.

I have tried several things: deleting and recreating the measure group, setting null processing to preserve, setting unknown member to visible, setting error options. 

Does anyone know a reason why it is ignoring null foreign key records?

Thanks.