Could be a multitude of reasons. Things to look for: Does the switch light up - the light on the dash, The whole system is electronic, look at the switch, wiring, transfer case solenoid, etc. If possible, trace out the system with a multimeter. Could also be a fuse...
front wheel drive or 4 wheel drive capable
Mazda RX8 is RWD Mazda Tribute is FWD but can also be bought in 4WD configuration.
The 2009 Mazda MAZDA3 has front wheel drive.
The 2012 Mazda MAZDA5 has front wheel drive.
The 2007 Mazda MAZDA5 has front wheel drive.
The 2011 Mazda Mazdaspeed3 has front wheel drive.
The 2011 Mazda MAZDA2 has front wheel drive.
The 2009 Mazda MAZDA6 has front wheel drive.
The 2012 Mazda Mazdaspeed3 has front wheel drive.
The 2010 Mazda Mazdaspeed3 has front wheel drive.
The 2012 Mazda MAZDA2 has front wheel drive.
The 2004 Mazda MAZDA6 has front wheel drive.