I'm assuming that you're using live bait, right?
If so, are you using nightcrawlers?
If you are, then your problem may be that you're using too large of a worm. The 'gills are likely grabbing the end of the worm, dragging it a few feet, and when you set the hook, you are ripping the bait right out of the hook. I've witnessed bait stealing like this many times. The typical bait stealers are usually smaller Bluegill that aren't large enough to take the entire bait, they just grab a piece of it. You can solve this problem by either using smaller worms or by using chunks of larger worms. This way, if they grab part of the bait, they'll be easier to hook, since the bait is smaller. Using smaller hooks also help significantly, as well.
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