It's probably still acclimating. They'll often times shy away from the light initially, but it could also be a sign of bigger issues. Tell us a little about your tank. . .
What size is your tank?
What are you using for lighting?
What are you using for filtration?
What are your water parameters (ammonia, nitrite, nitrate, phosphate, PH, alkalinity, temperature, etc.)
How long has your tank been up and running?
Watch for the anemone wandering around excessively, especially at night, where an unhappy anemone may actually detach from the rock and float around the tank. As Mr. X said, though, don't try to forcibly relocate the anemone. It will find a spot it likes and hopefully stay put.