Sounds like you installed it backwards, or you have a hole in your hose, loose clamp? Something that is leaking air after the AFM, that is for sure.
If you run this open to atmosphere, it will suck air through the valve under all conditions but when your boosting. (It is designed to do this.)
Check the following.
1) Is your vac line port straight up, or sideways? If you installed the valve sideways, it's wrong.
2) Did you route back to the intake pipe between the turbo and AFM? If not, that is your problem. The engine is sucking unmetered air, and that makes it run lean/rough.
Here is how they should be installed. (I have two, and no I do not have a AFM, this setup is now MaftPro. But mine vent to the intake pipe between the air filter and the turbo, so under boost when they "blow off" they help to keep the turbo spooled up, and off boost, they provide a short cut from the filter to the throttle body.)