you have the wrong blue wire hooked up to your amp as the Remote wire. Take your cd palyer out of the dash and swith the blue wires that are going to your amp as the remote. The reson this is happen is because the wire you have it hooked up to now is a power antena wire that only has a 12+ volt signal running through it when the radio is on. The other blue wire which is the remote wire is on constantly once the cd player is on. That is the one you want.
my freind had this problem before, all he had to do was turn up the subwoofer level when he was listening to the tuner. tuner and CD save setting separate from each other on some recievers. but try the remote wire thing too