A few possibilities come to mind.

First and most common is that your stem/spacer stack isn't high enough and you aren't getting a proper adjustment in the first place. Remove the top cap and verify that the steerer is below the rim of the outer stack by a few millimeters. Add a spacer if needed.

If it's a newly installed headset, it's likely that you haven't seated the cups or crown race fully into position. You adjust the headset then while riding the road shocks drive parts a bit farther down loosening the headset.

Look for a gap between the crown race and fork, or frame cups and head tube. If you see any that's your problem, and there are two fixes. Either remove the fork and seat the races all the way home, or continue as you are, taking up the slack as nature takes it's course and seats them for you. When they're bottomed out, you'll make your last adjustment. BTW- be aware that as parts seat your steerer will rise, so you may need another spacer.

If you have a carbon fork and steerer tube, it's possible that the stem clamp isn't holding well enough. The expander (or starnut) isn't enough to resist the forces loosening things. Check that the stem clamp is effective, possibly tightening it a bit more if that's possible without damage. Also check that the two clamp bolt ears don't touch which would make tightening impossible. If you're at the clamp bolt torque limit and need more hold, consider using carbon assembly paste or coarse lapping compound (available in auto stores) to provide mechanical adgagement through the grit's biting into both mating parts. This is an effective way to increase holding strenght without increasing clamping pressure.

That covers the three common and likely causes, if you've eliminated all three, then you need to look at the fit of the headset parts into the frame or fork. For example it isn't rare for Ti frames' headtubes to become bellmouthed at the bottom, causing play between the cup and tube, which acts like a loose headset, but is much more complicated to fix.