Bread-Bakers v111.n023.2

You are not doing anything wrong at all. Rye does not have anywhere 
near as much gluten as wheat so there isn't as much elasticity in the 
dough and fewer/shorter gluten strands to trap the gas -  denser 
bread, less rise.

You can buy gluten powder to add to your rye doughs to get fluffier 
bread if you like the taste of rye. I do not have much experience 
with this - I'm Swedish and like my rye breads traditionally dense. :