Might depend on how you're doing it and the fabric you're rolling up? Polyester doesn't stay in place well, from what I've noticed. If the sleeves are relatively loose, you'll have to fold it over more times - I can get away with just folding it over once if it's a tight sleeve or if it's got a cuff, but with most sleeves I have to fold three or more times to get it to stay in place.

Could also be your arm shape, but I have narrow stick arms and haven't had issues when I roll my sleeves up properly. If I just scrunch them up, though, they fall down immediately.