Most often the ads are reaching the wrong people, the page they land on does not match what they searched for, or conversions are not being counted at all. Check those three in that order before changing anything else.
Is it really not converting, or just not being counted?
First confirm that conversion tracking records your calls, forms and sales. If tracking is broken the account can look like it is failing when it is not.
Am I paying for the wrong searches?
Read the search terms report for searches that have nothing to do with what you sell. Block them as negative keywords so you stop paying for those clicks.
Does my landing page deliver what the ad promises?
A visitor who clicks an ad about one thing and lands on a page about another will leave. Match the page headline to the ad, and make the next step, such as a call or a form, obvious without scrolling.
Are my ads and keywords relevant to each other?
Each ad group should cover one tight topic, with ads that say the same thing as the keywords. Google's ad quality page says to focus on improving ad relevance, clickthrough rate or landing page experience.
Have I given it enough time and data?
Changing things every few days stops Google's automation from learning. Make one change at a time and judge it over a few weeks, not a few days.