I can't connect to a device that is connected with GPRS

My android 2.3 phone is connecting to the internet using the GPRS network and I get a new IP everytime I reconnect. So now I try to connect to my phone which is connected to the internet - the internet is working on the phone because I can use the browser. I also installed a FTP server and enabled to allow all connections. Unfortunately I can't get even a ping. It all works when I connect the phone to WIFI (and use the local IP) So is it just me or is it not possible to connect to GPRS connected phones?