Hard to say as you provided no example but I'd guess you have done this:

\documentclass{article}
\usepackage{amsmath}
\usepackage{makeidx}
\makeindex
\begin{document}
zz\index{at@$a_\mathrm{T}$}
zz\mbox{zz\index{at@$a_\mathrm{T}$}}
\printindex
\end{document}
One argument is read verbatim and the other not, resulting in an idx file like
\indexentry{at@$a_\mathrm{T}$}{1}
\indexentry{at@$a_\mathrm {T}$}{1}
with different entries. The easiest solution is to wrap both in the same command. If you put \mbox (or anything) around the first \index then the index entries are merged.
\index{at@$a_\text{T}$}and\index{an@$a_\text{N}$}. – GregH May 10 '14 at 15:19\usepackage{amsmath}– Malipivo May 10 '14 at 15:29\index{an@$a_\text{N} $} \index{at@$a_\text{T} $} \newpage \index{an@$a_\text{N}$} \index{at@$a_\text{T}$}– Malipivo May 10 '14 at 15:43makeindexagain? – Sigur May 10 '14 at 15:54\index{...after the command solved the problem. Thanks. – GregH May 10 '14 at 16:31