Chickens will sometimes lay the occasional soft or shell free egg for no discernable reason, but this can also be caused by other issues such as a lack of calcium. Pullets just starting to lay can have problems with their shell glands at first as well as older hens whose reproductive systems are slowing down with age. Hens going through a moult may also have egg related problems. When a hen is about to go broody they might lay the last egg without a shell.
If your chicken is young but has been laying steadily for a while, is not going broody or moulting and you are sure she is getting enoug calcium and protein, there may be a more serious cause. Egg binding is possible.