Be sure to rinse really, really well. Henna can be hard to rinse out. I usually still see some light orange drips when I'm done rinsing. Make sure your water is running clean when you rinse; I do it in the bathtub so I can see the water. I don't think you're losing color; I think you just have leftover paste in your hair.
My henna is cheap too, but it does exactly what it's supposed to and a year and only a few touchups later the color is still lovely.