If you're using homemade polenta, there are two reasons why that could be happening. One: You didn't let it cool down long enough. This step allows the polenta to set and firm up, and it shouldn't be skipped. Reason number two: Your liquid-to-cornmeal ratio was off. Most recipes online suggest cooking 1 cup of polenta with 4 cups of water or broth. I've found that this makes the polenta too soft and fragile. That's why I like to use 3⅓ cups of water for every 1 cup of polenta. If you're using store-bought polenta, consider the brand. Some are better than others so you may need to try different options and see what works best.