a few things could cause the problem,
is the brake rotor sitting flush with the hub? are all surfaces clean of large amounts of rust. are you putting the wheel on square before tightening the wheels?
as stace said, tighten them a little more. torque specs mean fuck all when the nut is still turning because the wheel or brake disc is not going on flat, or when there is any rust, damaged threads etc.
do they feel tight or like they are still pulling the wheel on when you tighten them more?

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Version 6 STI