Hmm. It might have something to do with the brand you're using and how high the pigment count is (meaning, how color-saturated). Then again, it's a fairly common complaint. Some skin just eats it right up.

I've found that theatrical cosmetics stay on far longer than commercial ones do, and you can find them in natural shades. I recommend Ben Nye--it's what I used for my Pizzazz-face. Of course, there may be long-term health risks with consistent use, as I'm sure you know.