Persecution is a very discouraging thing. It is particularly unpleasant, and may even cause us to wonder if God is there, or if He actually cares. Even John the Baptist, as he sat in prison, began to wonder if Jesus was really the Christ. "Are you the Coming One, or do we look for another?" he wrote in a letter to the Lord.
John probably expected a different response from Christ. Perhaps he was expecting Him to say "you seek another". Or maybe, upon hearing of his plight, he expected Jesus to storm the prison and break him out. But Jesus did neither of these things. Instead, He responded "the blind see, the lame walk, the lepers are cleansed, the deaf hear, the dead are raised, the poor have the gospel preached to them. And blessed is he who is not offended because of Me."
Jesus did not rescue John from prison. All He did was affirm to John that yes, He was the coming one. And this should be enough. See, faith in Jesus does not free us from persecution, it attracts it. The world hates God so much that it is all but inevitable it will fight us as if we were Him. Because of this, if you're not being persecuted by the world, it's fair to wonder what you're doing wrong?
Christians in the West have gotten used to being a rare exception. We live in somewhat civilised countries where, at the very least, the law prohibits most forms of persecution. But even that is nearing its end. Around the world, our brethren are dying for Christ, and the time is approaching where we might, too. We are already in an era in which street preaching can lead to arrest. The question you must ask yourself is what you will do when it comes knocking on your door? Pray for your country, pray for your brethren, and pray for yourselves. If you have not already, you will likely encounter persecution. Count it as joy if the Lord considers you worthy to endure it, and rest assured that if you do endure it, your reward will be greater than your sacrifice.