You may be cross chaining, which is when you're in two extreme gears.

For example, you're in the biggest charining up front, and the lowest gear in the back. If you look down the chain line, it will be slightly diagonal, which is bad for the chain. You should try to avoid gears like this... If you need that gear combination, shift to the lower-middle of the rear cassette and use the middle chainring. It's the same for when you're in your granny gear (smallest chainring) and the highest gear in the back.

The FD will often rub while cross chaining (especially in triples). Even double crankset setups have some chain rub while cross chaining.

If you need help setting it up, Park Tool is a good source.

http://www.parktool.com/blog/repair-...ur-adjustments