How can my target be stolen of me?

Not sure whether this is a bug but I noticed this a while ago and just noticed it’s still happening!

My 48 lock is at the “Circle of Inner Binding” farming elementals. I target a Thundering exile and hit it with immolate, curse and corruption then autoshoot my wand. Over comes a mage and hits it once and the target goes from green to grey and its not mine any more!

What am I missing here??