Wollowow I could be wrong, but I thought that was the whole point of the weapon? Well, that and imparting a little bit of pushback every time you're hit by a bolt.
The bolts themselves seem to do little to no damage (like the inflatable hammer), so the biggest strength of the crossbow is that it impedes your opponents for a short amount of time, allowing you to escape or to drop the weapon and get a proper attack on them. If the bolts didn't stick and slow someone down the weapon would have very little utility at all.
Very active movement (dodge rolling, hard punches, etc) do seem to help in getting bolts unstuck more quickly so you can try that as a counter. Especially if you use those to get closer and knock the person with the crossbow out as holding it does slow them down like all other 2 handed weapons.