In that case, click on the ¶ symbol on the Ribbon's Home tab, to show Word's formatting marks. At the end of each footnote you should see a ¶. If there's a gap between that and the next footnote, it means that one or more of your footnote paragraphs has a paragraph before or paragraph after space set. You could simply change the paragraph formatting to set the before/after space to 0, but the better approach is to do that to the footnote paragraph Style - and ensure that Style is applied to the footnote.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]