maybe you're missing a spacer, causing the headset stack height to be incorrect, resulting in the locknut bottoming out on the steer tube, but not tightening the headset bearings.
remove the stem and look into the steer tube. there should be a gap between the top of the steer tube and the top of the locknut.
incidentally, is the headset loose all the way around? or are there tight spots as you spin the HBs?