Some of the hop oils coat the yeast and fall out of solution. The more yeast still in solution, the more hops will be taken away. It's a recipe issue - use more hops. Some people believe, but I have never seen any evidence other then here say, that if dry hops are added to still actively fermenting yeast (last few days of primary) that the yeast will synthesize some of those hop compounds into more complex flavors.
This is what I do - I add during the last few days of primary, but my reasoning is that I want the yeast to scavenge any oxygen that I may be introducing to the beer when I dump in the dry hops.