I'm guessing you're using Vim inside a terminal, since I was able to map
<C-Enter> successfully in the GUI versions of both MacVim on OS X and gVim on Windows:
:imap <C-Enter> I just pressed Control+Enter<CR>
If you're using the terminal version of Vim, then Vim is at the mercy of whatever keycodes the terminal provides. In some terminals, pressing Control+Enter looks exactly the same to Vim as pressing Enter alone, so Vim never really sees the keystroke you're trying to send it.
See this older Stack Overflow question for additional discussion: