You may be taking to deep a cut and/or too high a feed and the insert gets caught on the thread and unwinds the bolt. Also the type of carbide cutter and profile. I use CCMT inserts and haven't had any issue with the bolt/rod turning. Ideally you would want something like a 5C collet. Make sure it is free of any oil or lubricant as this can significantly decrease the holding power. I routinely either turn down SS bolts and/or thread cut down bolts w/o any issues. The other approach would be to use a through the spindle stop system.