Are you on a dashboard? Its only available for individual worksheets, I believe.
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Matt Lutton is correct. Bookmarks work with Worksheets and not Dashboards. The online help article mentions that this is functionality for Worksheets and discusses the items that persist with a bookmark. These items are specific to a worksheet rather than a dashboard.
If this functionality would be helpful, please submit an idea to the ideas section to let us know how this would be helpful and what you imagine it might do. Make sure to let everyone know if you do create an idea so that it can be voted on.