why cant I transfer 'some' downloaded music into sd card. I have a galaxy 4s
When you long-press the title, what does the drop-down menu show (list)?
You didn't mention your carrier, if you downloaded the music yourself, whether they were paid or free or what the source was that you used.
Based on what information you provided, they might have been pre-installed as system ringtones and locked to your phone's internal storage. The only way you might be able to do a transfer would be to root your device.
Sometimes, if the tones were downloaded from your carrier's Web site, the carrier might lock them onto your device to discourage sharing. I remember such experiences when I had Virgin Mobile.