Some of the emulator targets like 4.4 (API level 19) and 2.3 have a bug. Change your emulator to target version 4.2 or 4.3 and try to change the orientation.
See the history of this bug:
https://code.google.com/p/android/issues/detail?id=13189
Related question: Impossible to rotate the emulator with android 4.4