What brand filter did you buy? If you bought anything other than Bosch or Mahle, throw it away and buy a good one. There's been a rash of crappy Chinese filter problems.
Next. The filters don't come with the plastic part held in place with the clip. You may have cracked it when removing it, or (as above), it may not fit the filter properly. Also, check your rubber lines and clamps. If the rubber is stiff, or the clamps are loose, they'll let air into the filter.