I had the same problem with my 870 but only when it was extremely cold. And only when I loaded it with shells from my pocket. I was suspecting that condensation was freezing the shells in the chamber but then thought there is too much heat and expansion of the brass for that. I also thought it was roughness in the bore. Again - nope.
So I stripped the entire gun down. Took the bolt and if you look there is a plunger that holds the extractor in place. I took a small screwdriver and pushed it back and lifted out the extractor. Then eased the plunger forward.
I thoroughly degreased, cleaned and lightly oiled the bolt and re-assembled and got rid of the problem.
A word of advice - it is best to remove this extractor, plunger and spring in a shallow box (like a cigar box) in case you slip off the plunger after removing the extractor. Or you may spent the rest of your life looking for the plunger and spring. The box will catch these tiny parts.