- you're not torqueing them correctly
- after having been under-torqued the first time, the lug seat surface has gotten damaged so it'll never hold torque
- sometimes, there's a difference between lug nuts for alloy and for steel rims, and you're using the wrong kind.
- your rims aren't centering properly on the hubs, causing them to wander off-center as the car drives, causing the nuts to come undone.
What else can I help you with?