Yes, mine did that too and it drove me crazy. They didn't act like they wanted a host at all. I had no anemones in that tank, but there are toadstools, hairy, torch coral, frogspawn, etc. They wanted none of it. They just hung in a corner of the tank. Everyone told me it wasn't "normal" behaviour and they were either sick or being harrassed, although I saw no signs of either.
Then I set up a cube just for them and a nem. The fish were in there for a month before I added anything and they acted the same exact way. I then put in their native anemone, a magnifica, and they were in it immediately. They were like whole new fish. They went from my most disliked fish to my favorites. Although the mag died, they then went into a haddoni carpet and things have been great.
My guess is that if I were to place them back into the other tank again, they would find something else to go in now that they have learned what it is like.