It's thought they only sold 1,000 tickets out of a maximum 12,000 at Wembley.
A spokeswoman for Wembley said the concert's promoters, Red Square, told them the gig had been cancelled, but they didn't know why at this stage.
However, a report in The Sun on Wednesday said it was because Julia and Lena hadn't sold many tickets.
There's rumours that it's because parents don't want their kids going to see the girls, who hit the headlines over their raunchy video and stage act.
People who've already got tickets are being told to take them back to where they bought them, and they'll get their money back.