So you read the Datasheet for your 7805?

By the time you take 24vAC, rectify it and smooth it, you may have a DC voltage which exceeds the input specification for your Regulator. If this is the case, you've just blown up your Regulator.

Some 7805's require a load on the output (regardless how small - even 1K should be sufficient), otherwise they just shut down.

You may also find that 470uF on the Output (which isn't in your schematic) is excessive... the 7805 may see this as a dead-short initially and shut-down. The shut-down is around 1v on these devices, so I'd look at that first.

Reading manufacturers Datasheets saves a lot of headaches...