This will happen if your mesh is VERY thin, there are a couple of things you can do, one is enlarge your mesh a LOT, you can do that in two places, the first is the Geometry Pallet under Size, the second is in the Deformation Pallet also using Size (this can be unstable however, if it suddenly seems to UnDo it self, save your work, and restart ZBrush. This usually happens after more than one resize).
The other thing you can do is use the Inflate Brush to blow up the holes and then Re-Dynamesh, this will only work well if your mesh isn’t going to wind up too thin again, so the resize thing comes in handy one way or the other.
Hope that helps!
Cheers!
Mealea