See http://word.mvps.org/FAQs/Formatting/FootnoteOnDiffPage.htm

Note, too, that I recently discovered something that can affect footnote
placement. Ordinarily, Space After in paragraph formatting is suppressed at
the bottom of a page. I found that this is apparently not true when there
are footnotes. So sometimes text or footnotes will move to the next page
even when there appears to be plenty of room for them. Removing the Space
After from the last paragraph on the page will allow them all to fit.