Sticky leaves on citrus trees is often the sign of some kind of insect infestation, either on the tree itself, or a neighboring plant which is depositing sticky honeydew.
Aphids can cause sticky citrus leaves, but if you don’t see any insects on your plants, it’s very likely you have scale insects and don’t realize it. Mature female scale insects cover themselves in a protective wax and remain immobile, resembling bumps on leaves and branches.