This could be for many reasons, the first being you didn’t use a heavy cream with a large enough fat content. It could also be because you weren’t letting the sauce simmer long enough over a low heat. The low heat is what will help the sauce thicken up without burning or separating. Lastly, the roux you made with the flour and butter, may not have been combined properly and ended up leaving you with chunks of flour that never got incorporated into the sauce. Again, do your best to work over a low heat to avoid all these things from happening.