Did you receive confirmation of it shipping? If not, new releases are generally limited by availability, so if the game is not in your queue far before release you'll likely be later on the waiting list for it. If you did receive confirmation that it shipped the game may have been delayed in the mail. Gamefly ships new release games so they'll arrive on release day, but shipping time/complications with the postal service may cause them to arrive 1-2 days later. Either way, this is a question for support rather than the community, so I'd suggest contacting Gamefly Support for a more specific answer.
Or use the support link at the top right hand corner of the screen.