Boiler loosing pressure when heating goes off?

A 28cdi has started loosing pressure when heating goes off it can be refilled but its getting a bit tedious. I thought it was something to do with the part were you put the filling key in but I think that is me not closing valve properly.The pressure gauge if you put 1.5 bar in it climbs quickly and will go up to about 2.5 bar in a couple of minutes on its own but when you put heating on it will start to loose pressure till it goes down to zero . Any ideas will be grateful