Select the text in the footnote, open the inspector to the text tab, and select Line: 1.0. Perhaps some other spacing is getting in the way, like the before or after paragraph spacing? Even in you have line spacing set to 1.0, these will add space before or after the paragraph.
If you want to change all footnotes, in the styles drawer, make sure Footnote Text is selected (or create it, if needed), click the down arrow, and select "Redefine style from selection." This will apply to all text with that style.
Select the text in the footnote, open the inspector to the text tab, and select Line: 1.0. Perhaps some other spacing is getting in the way, like the before or after paragraph spacing? Even in you have line spacing set to 1.0, these will add space before or after the paragraph.
If you want to change all footnotes, in the styles drawer, make sure Footnote Text is selected (or create it, if needed), click the down arrow, and select "Redefine style from selection." This will apply to all text with that style.