First, check out the simplest thing. See if your drawbar is too long for the mill and the threads are bottoming out in the collet before the collet can tighten on the work or tool. If so, the simple fix is to add a washer or other spacer between the bottom of the hex at the top of the drawbar and where it pushes against the top of the the spindle. Fewer threads will be engaged with the collet when using the spacer, done properly the thread won't bottom out in the collet. Quick, easy, free common fix IF that is what is wrong. It is a common problem, somebody takes out the drawbar, does not see the washer fall off, and then blames the collets for the problem. A hardened washer/spacer is the best choice.