Yeah, this one's common. The bit isn't tightened enough in the keyless chuck, or you're using the wrong speed for the material.
FIX: First, stop and lock the tool off (center the forward/reverse switch). Remove the battery. Hold the rear sleeve (sleeve A) of the chuck and crank the front sleeve (sleeve B) clockwise as hard as you can by hand. It needs to be really tight.
IF THAT DIDN'T WORK: Check your technique. Are you applying side pressure or not drilling straight? Pressure must be in direct line with the bit. Also, you might be in too high a gear. For drilling metal or driving large screws, use speed 1 (high torque). For smaller holes in wood, you can use speed 2. Never change the gear switch while the drill is running.
HEADS UP: A loose bit is a major safety hazard. If the chuck itself seems damaged or won't grip no matter how tight you get it, it's time for service. Don't force the tool to work.