To keep things simple, let's talk about two-qubit states.
A single qubit could have an orthonormal basis $\{|0\rangle, |1\rangle\}$. But it could also have a different orthonormal basis $\{|+\rangle,|-\rangle\}$, where $$|+\rangle = \large(\normalsize|0\rangle \small+\normalsize |1\rangle\large)\normalsize / \sqrt{2}$$ $$|-\rangle = \large(\normalsize|0\rangle \small-\normalsize |1\rangle\large)\normalsize / \sqrt{2}$$
No suppose the two states you're trying to distinguish are: $$|\psi\rangle = \large(\normalsize|0\rangle|0\rangle \small+\normalsize |1\rangle|+\rangle\large)\normalsize / \sqrt{2}$$ and $$|\phi\rangle = \large(\normalsize|0\rangle|1\rangle \small+\normalsize |1\rangle|-\rangle\large)\normalsize / \sqrt{2}$$
Here the first qubit in each term is Alice's and the second qubit in each term is Bob's.
Let's say Alice does a measurement in the $\{|0\rangle, |1\rangle\}$ basis. After the measurement the state will be projected into a new state, but which new state depends on the result of Alice's measurement.
If Alice observes state $|0\rangle$: $$|\psi\rangle \rightarrow |0\rangle|0\rangle$$ $$|\phi\rangle \rightarrow |0\rangle|1\rangle$$
If Alice observes state $|1\rangle$:$$|\psi\rangle \rightarrow |1\rangle|+\rangle$$ $$|\phi\rangle \rightarrow |1\rangle|-\rangle$$
If Bob knows Alice observes $|0\rangle$, then he can distinguish the two states by making a measurement in the $\{|0\rangle,|1\rangle\}$ basis. Likewise, if Bob knows Alice observes $|1\rangle$, then he can distinguish the two states by making a measurement in the $\{|+\rangle,|-\rangle\}$ basis.
But if Bob doesn't know the result of Alice's measurement until after he makes his measurement, then he doesn't know which measurement to make.
If the true state is $|1\rangle|+\rangle$ but Bob guesses it's either $|0\rangle|0\rangle$ or $|0\rangle|1\rangle$, then he's going to make a measurement in the $\{|0\rangle,|1\rangle\}$ basis. This means he's equally likely to observe $|0\rangle$ or $|1\rangle$, since the true state of his qubit, $|+\rangle$, is an equal superposition of $|0\rangle$ and $|1\rangle$. Note that even if the true state of his qubit were $|-\rangle$ (the only other possibility after Alice's measurement), Bob would still have been equally likely to observe $|0\rangle$ or $|1\rangle$.
So after comparing results, Alice and Bob realize that Bob's measurement tells them nothing, and moreover the result of Alice's measurement by itself does nothing to distinguish the two initial states.
Edit:
I'm going to try to give a more general rule for which states Alice and Bob can distinguish with local measurements only (no communication until afterwards.)
If Alice and Bob aren't going to communicate until their measurements are done, then the combined measurement is effectively chosen before hand. As Frédéric Grosshans points out in his answer, this measurement will be a projection into the eigenbasis of $A \otimes B$, where $A$ is a local observable that Alice can measure and $B$ is a local observable that Bob can measure.
If $S_A$ is the set of eigenstates of $A$, and $S_B$ is the set of eigenstates of $B$, then the set of eigenstates of $A \otimes B$ is the direct product (the Cartesian product) of $S_A$ and $S_B$.
As an example, if $S_A = S_B = \{|0\rangle, |1\rangle\}$, Alice and Bob will only distinguish $\{|0\rangle|0\rangle, |0\rangle|1\rangle, |1\rangle|0\rangle, |1\rangle|1\rangle\}$. If $S_A = \{|0\rangle,|1\rangle\}$ and $S_B = \{|+\rangle,|-\rangle\}$, Alice and Bob will only distinguish $\{|0\rangle|+\rangle, |0\rangle|-\rangle, |1\rangle|+\rangle, |1\rangle|-\rangle\}$.
If you have a set like my two entangled states above, or Frédéric Grosshans' four states $\{|0\rangle|0\rangle, |0\rangle|1\rangle, |1\rangle|+\rangle, |1\rangle|-\rangle\}$, then there's no choice of $A$ and $B$ that will suffice, because these states aren't in the direct product of the eigenstates of two local measurements.