Check your XML configuration, e.g. standalone.xml or domain.xml, and look <interfaces/> section. Make sure you're binding to 127.0.0.1 for the management interface. Also have a look at yourmanagement-native port in the <socket-binding/> section and make sure it's set to 9999. These are the defaults.

It should look something like the following:

<interfaces>
    <interface name="management">
        <inet-address value="${jboss.bind.address.management:127.0.0.1}"/>
    </interface>
    <interface name="public">
        <inet-address value="${jboss.bind.address:127.0.0.1}"/>
    </interface>
    ...
</interfaces>


<socket-binding-group name="standard-sockets" default-interface="public" port-offset="${jboss.socket.binding.port-offset:0}">
    <socket-binding name="management-native" interface="management" port="${jboss.management.native.port:9999}"/>
    <socket-binding name="management-http" interface="management" port="${jboss.management.http.port:9990}"/>
    <socket-binding name="management-https" interface="management" port="${jboss.management.https.port:9443}"/>
    ...
</socket-binding-group>

If it's still not connecting it's likely a local issue. Most likely a firewall getting in the way or possibly you don't have localhost set-up in your hosts.