There could be a number of reasons for that. The most common reason is to check whether the cleats are properly mounted to the shoes and the shoes are attached to the Peloton pedals correctly or not. Sometimes the cleats are old and worn-out and may need lubrication to properly fix into the pedals. You can also try loosening the pedal tension as it might be too tight for the cleats to get in effortlessly.   With a little practice, you should be able to easily clip in and out of the Peloton.