A good quality pump will rarely have issues like this.  You may have a very cheap pump, or you may have a pump which is designed for one of the other valve styles available.

There are a few threaded valve fittings, mostly on fairly high end pumps.  [Lezyne][1] and [Scott Sports (Syncros)][2] both make good pumps with threaded fittings which fit the 2 main valve types on European and US bike styles.


  [1]: http://www.lezyne.com/products/floor-pumps/high-pressure#!CNC-Floor-Drive
  [2]: http://www.syncros.com/syncros/us/en/products/2283470010/floor-pump-syncros-fp10-anthracite/