If you're referring to a Bechamel, it could be because you're holding it at too high a temperature for too long. The same goes for cream thickened and reduced sauces I've noticed. I've noticed this in a lot of the soups I've seen being held in a bain for the day, many of the cream soups separate, probably caused by the too-high holding temperature. Try and keep it just at the minimum safe holding temperature.