Somebody joins, somebody leaves...
Most probably whoever started following you was a spammer hoping you will look on their profiles and/or follow them. By the time you got to Twitter, somebody else marked them as spammer and they got blocked.
Easy enough to confirm that - if they follow a lot of people but are not at all followed back, they are probably a spammer. You can also click on their name you got in your Twitter email and check who they follow and whether they are even still on the system.
Finally, just make sure those emails are not a scam themselves and do go to Twitter. Otherwise, they might be phishing for your Twitter password.