Fertilization and conception are actually two distinct processes.

Fertilization is the fusion of the egg and sperm, which usually occurs in the Fallopian Tube. Conception is when the fused egg and sperm (called a zygote) implants, normally in the uterine lining, resulting in pregnancy. So, in other words, sperm could fertilize the egg, but fail to implant, in which case pregnancy does not result.