Prefectly normal to happen. Its probably a DT swiss wheel or SRAM wheel right? So:
DT Swiss 1700 or lower number/SRAM 50/60 wheels:
4 parts – 2 springs, 2 ratchets.
Insert 1 spring into the hub over the axle, fat end in.
Pair the ratchets together so they mesh on the teeth side. Slip the pair over the axle onto the spring.
Insert other spring into the freehub, again fat side in.
Push it all together. The ratchets will not go in to their slots straight away – spin the freehub a little while gently squeezing together and it should all slip into place.
Replace the end cap onto the axle. Done.
DT 1900 or SRAM 30/40 wheels.
Check the pawls (the little springs in the freehub) are still in place properly.
Push it together (no assembly required) onto the axle. The springs will stop it fitting all the way.
Spin the freehub anticlockwise until the springs slot into the hub body. Sometimes one wont go in, use a small screwdriver or similar just to poke it in a little so it drops into the ratchet.
Push up tight, and then check the axle cap is seated properly (just push it down inside the cassette.
Done!
Go ride.