Get a digital multimeter set to measure "ohms" (resistance) in the lowest range (usually 0 to 200 ohms). Pull off the caps of all four glow plugs. Measure resistance between terminal on top of each glow plug and the engine block. Should be somewhere around 1 ohm more or less (most multimeters aren't very accurate in this range so don't be too fussy) but all four should be the same (+/- 0.1 ohm).
If you find a bad one, that's the problem. Replace it, or all four if the car has more than (say) 50,000 km on the glow plugs.
If you do NOT find a bad one, first make sure the glow plug fuse isn't blown, and if THAT isn't the case, replace the harness to the glow plugs including the four caps (not expensive - ask the dealer). Bad connections inside that harness are not uncommon.