Too valuable to be promoted?

In my years of education, I was always told to make myself as valuable as possible so that I could be promoted as quickly as possible. For most of my life, that has been the case for me, moving from a base employee to an assistant store manager within 6 mo- 1 year. Going from customer service to manager of returns and then on to Logistics manager within 2 years. This all seemed to be “Just how it is” until recently when  I was told that I was not promoted to a position that was open simply because I was considered “too valuable where I was at”. Please keep in mind, much has happened since then, it was just a situation that I felt was odd and would possibly get you thinking.

As I thought about this situation there were several questions that came to mind:
Am I so under paid that it is not worth offering a promotion for risk of having to pay more?
What did I do so well at that they could not see the same potential for outstanding performance in a new position?
What do I need to stop doing to reduce how valuable I am so that I can get promoted and thus improve my finical situation?
This is all a situation that wither you know it or not, it is very likely that you have been the victim of this at one point or another. The real question is, is there something better that they are “Preserving” me for.  In the long term, is there a better option? So, here is the real question, have you had this happen that you know of? If so, what did you do and  what happened to resolve this?
As far as background, I will admit that I was one of those people fooled by the idea the a company promotes a person once they qualify and have proven themselves worthy. I have felt that there should be no need to ask for a raise. Sadly I can officially say I was wrong. Now the reality sinks in, that I was never taught how to “Properly” ask for a raise and/or Promotion. I know that there are a lot videos on the web as well as training materials that explain how this is to be done but they never account for the possibility that you actually know your boss. That may seem a bit odd but it is true. Often times, I have found that you know and get along well with the boss and asking for a raise may simply cause ripples or even on the other side, you don’t see eye to eye with your boss and although you are great at what you do, you don’t want to cause them a reason to let you go.
I do want to clarify something. In a recent position, I had no desire to be promoted and that is different. I had worked my way up the ladder to a position that I enjoyed, and looking up I did not see any positions that I felt I would enjoy or be “good” at. At that point in my mind, it became time to start looking outside the company for the opportunity to move up in another in area or function that would be considered “exciting” , “fun”, or more “Fulfilling”.