The Dark Brotherhood won't kidnap me!?

Have you also talked to Aventus Aretinio, the little boy who is trying to get the DB to kill Grelod? Killing her isn't enough, you also have to tell Aventus that you have killed her, whether you kill her before or after he tells you to do it. If you do it before, he is even more impressed since you seemed to have known to kill her before he even told you about it.

Edit: He's in Windhelm, in case you forgot. I forgot to have that originally.

Edit 2: You could have mentioned that you already talked to the boy in the first place. Anyways, you might want to try seeing if you get the note from the DB with the black hand and "We know" on it. See if you can get kidnapped after that. Though it seems that it is possible for the next mission to not trigger properly after you complete the one you are trying to do.