There are several possible reasons why this could happen:
Over application - there is a limit to the amount of oil that the wood can absorb, excess application can cause the oil to dry on the surface - which can create a sticky or tacky surface. Remedy: allow for extra ventilation to enable the drying, or remove excess with cloth.
Existing treatments on the surface - previous varnishes or other treatments can block the absorption of oil into the wood. Please refer to our advice regarding wood preparation. Remedy: sanding and re-application.
Unsuitable product for the wood - exotic hardwoods such as Teak, Iroko, Idigbo, Cedar etc. have a high natural oil content, and application of further oil can be problematic if an unsuitable product has been applied. For these types of wood we recommend Wood Wax Finish Extra Thin for interior use, or for exterior use we recommend to allow exposure to elements for at least 3 months prior to application, any exterior product would then be suitable.