Crank the thing down! Don't be afraid to tighten it like you mean it. The threads are coarse ones, it'll unscrew, no worries. Be manly!
For most of the common suppressor threadings, they're not coarse, or even fine - they're extra fine. (28 threads per inch, or 1 mm thread pitch, depending on whether you're talking SAE or metric.)
With that being said, you're talking about metal parts here, so Willie's probably on the right track - I suspect that you're not torquing down on the connection near as much as you safely can.