Starting with a special weapon, say a shotgun, with more than zero rounds loaded. From the character menu, switch to another special weapon, say a sniper rifle. The new weapon is equipped with NO ammo. Switch back to the original special weapon and it is now without ammo as well. Happened to me and a friend several times.
It was intended so you don't keep switching. Here an idea I picked up. When you are done with an area change your weapon then pick up the special ammo that's lying around. It helps.