Have you enabled continuous collision detection on your player object's rigidbody? That might help. You can also turn up the physics iterations to insure there isn't penetration. Or make the floor thicker.
What you're looking at is physics tunneling, where an object moves so fast that the next frame puts the object on the other side of a thin wall. The collision is never detected because the object is moving so fast, it essentially teleports through the floor.
EDIT: Another fix is to use raycasts to determine valid movement- or that an illegal move didn't happen. Typically useful for bullets.