Don’t take it off the heat until you’ve got a thickened and creamy sauce. Take the runny sauce and put it back on the stovetop over medium-high heat and continue to cook, while whisking, until it does thicken up. Another possibility is the flour mixture and milk weren’t given enough time to bind together over the heat. Wait until the flour gets nice and toasty before adding in the milk so it can thicken up properly.