1: Do you have custom wheels or wheels that need a hub-centric ring? That perhaps fell off?
2: Are the mating surfaces of the wheels/rotors/drums clean and corrosion free?
3: Have a reputable tech look at it.
That’s been a problem for years. Ant seize and place a silicone cap over that stud will help. The cap will fall out when you unscrew it. Had this happen to me but fortunately I had pliers and got it loose.