Sounds as if the person who cut the thread on your chuck did not allow for "spring" in the cutting tool, so that the thread is very slightly tapered away from the head. (Have just had this problem in recutting my chucks from Tyme Avon thread to Mystro)
If you can get hold of a HSS internal screwcutting lathe tool, then you may be able to use it by hand to relieve the outer bit of the chuck thread enough to get the chuck to snug up to the shoulder of the lathe nose. Ideally, you need an internal thread chaser, but finding one of the appropriate pitch is likely to be tricky and expensive. If you do get a lathe tool, remember that metric threads have a very slightly different included angle, so look for a metric tool if possible.