I had that happen. Sometimes the threads are screwed up on either the new filter or your bolt. Just go buy another filter locally even if it is of lesser quality than the Mann (is supposed to be). The price won't be worth the hassle or cost of shipping. Write it off and move on - but check the threads closely on the bolt and filter. There are also other filters that only differ in the threads and one may have been misprinted (number) or in the wrong box.

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85SD 240K & stopped counting painted, putting bac together. 84SD 180,000. sold to a neighbor and member here but I forget his handle. The 84 is much improved from when I had it. 85TD beginning to repair to DD status. Lots of stuff to do.