Anemone's move. Some more than others. Some, even with no rhyme or reason.
Many move because they are hunting for an optimal place to set their foot down - a place with the right lighting, and the right current. Many seem to prefer a crevice or large hole in a rock, for protection.
Anemone's getting caught in the powerhead or filter is bad news. Yes, you should move it if that happens.
But let's start with the basics.
What kind of anemone is it? What kind of clown? Not all clowns and anemone's will get along. Certain clowns go with certain anemone's. And certain anemone's are not typically host anemone's.
What kind of lighting and water flow do you have in the tank?
What are your water parameters (ammonia, nitrate, etc.)?