Sounds like you're missing a washer or similar. But just in case, I assume
the screw fitting is a nice tight fit as there are various size fittings
around (although you don't often come across them).

Question - do you have a non-return valve fitted? These are mandatory in
most places now. If you don't, Hozelock make a combined non-return/"male
fitting" that screws directly onto the tap and to which you then clip the
hose. I have one and it doesn't leak, unlike the tap itself but that's
another story :-(.

Paul DS.