I'm very new to QGIS, and this is baffling me. I used "split vector layers" to create new layers in QGIS, and have been trying to export the file to dxf. However, when I open my new dxf files, every feature is on its own layer, and my new layers are empty. I used "export to dxf" on mac yosemite.
This is an issue I had in QGIS 2.18.12, I can agree with @she_weeds, that it worked properly in 2.14.x. I started a bug report on this (https://issues.qgis.org/issues/17126), and in 2.18.14 it's now fixed (just tested). It should not depend on the format of your input data.