Are you aligning the shape of the optical cable precisely to the optical ports as they can only be pressed in one very specific way?

If you are 100% certain the orientation is correct, you’d be advised to try a different optical cable (especially if it doesn’t seat firmly at either end). Although it would be most unusual for the Sonos-supplied optical cable not to seat firmly...

Many optical cables come with a small rubber ‘cap’ covering the optical part, you might need to check and remove that, if ​@Rhonny ’s advice doesn’t help. 

Yes I have carefully aligned the connectors while inserting. They only go one way, one of two sides marked with in white. 
The cable included in my (brand new?) Ray did not have a protector cap on either optic end. I suspect I may have been shipped a returned or refurbished boxed Ray with a defective cable. 
I made thr connections work but very fragile, slipped out at slightest touch. 
I have just today received another cable from SONOS after over one hour with support asking me to view several videos for how to connect! I believe this new cable will work. 
thank you for your responses. 
Sal Madonna 

Edit. New cable received has a black rubber-like cap over each seemingly metal tiny tube. Versus the optical bulbs on the ends I had received previously with the Ray. Further evidence I believe that SONOS shipped me junk of a Ray and cables. Inconsistent with the apparent reputation and high prices of their products. 
Happy Easter all. 
Sal Madonna

Well, I’m glad you’ve fixed your problem. I recall Monster sold me , many moons ago, an optical cable for around $90, if memory serves,  which had those ‘optical bulbs’ you are talking about. But I used the Sonos supplied cables with both of my PLAYBARs for many years, without any issues at all. It’s unfortunate that you apparently received a ‘bad’ one, but I suppose manufacturing can occasionally make mistakes.