First check for any data entry errors. Second, do you have any penalties, such as for not having health insurance?  Do you also claim exempt from State taxes?

The IRS has two qualifications for claiming "exempt" on your W-4, and you must meet both. You must have had a right to a refund of all federal income tax withheld during the previous year because you did not have any tax liability, and you must expect a refund of all federal income tax withheld this year because you don't expect to have any tax liability. 

You can't claim exempt on your W-4 if you can be claimed as a dependent by another taxpayer, you have more than $300 of unearned income and your total income for the year exceeds $950.

The penalties for incorrectly claiming  Exempt are high, so you are better off claiming a large number of allowances (say, 10) instead on your W-4.