Yea, that's exactly what's happening. You're losing all your CO2, and CO2 needs time to dissolve in the water. Try to position your setup so that the CO2 bubbles into a bell, I use an upsidedown soft drink bottle. Anything plastic like Aquafina or other water brands will do fine as well. Just rinse everything in hot water for a while to make sure no residue is remaining.
Now as long as your bell is in the water and the CO2 is going into that bell, you'll have a good level of CO2 diffusion in your water. HTH, and hope you've got the gist of what I'm trying to explain.