While anenomes are known to move around in a tank before they settle down, they should eventually find a place that suits them. Is it still moving around? I have had a few and while mine did move around, they settled down within a day or two and didn't move.
While others may be able to comment on the specific behavior of moving in and out of the rock, it doesn't seem quite right to me, based on what my anenomes have done. Hopefully yours will settle down soon! A couple of questions if it doesn't settle down: what type of lighting do you have, how much flow, and how is your water quality? Anenomes are known for needing excellent water quality in an established tank.