Problems while creating a City using the OpenStreetMap maps I've found this blender tutorial :

How to Create a City Covered with Fog

and I've tried to do it. And then I've chosen the map of the city where I live and I have selected a small area,but when I have imported it in blender I have seen that something hasn't worked correctly. Please check the screenshots attached to understand better where could be the problem,thanks.
In OpenStreetMaps only the buildings in dark brown have had their shapes made available for blender. This means that what you are experiencing is normal. If you would like more buildings, select a different area of your city, preferably with more details. 

[Edit by Brasshat] Or create the bit of the city you want, and use Blender to add the buidings not provided by OSM.