No, you aren't necessarily doing anything wrong - not if you're sincerely seeking to follow Christ in your daily life. God still loves you and wants to help you.
And don't forget: Some things are different for you now! For example, your greatest problem has been solved: your need for God's forgiveness. You also are a child of God now if you know Christ, and you should thank God every day for this great truth. Things are also different because you no longer must face your problems alone. Christ is with you, and God's promise is true: "Never will I leave you; never will I forsake you" (Hebrews 13:5). Isn't it better to face your problems with God than without Him?
At the same time, God hasn't necessarily promised to take away all our problems when we come to Christ. Sometimes those problems are of our own making, because of unwise decisions we made, for example, or because we disobeyed God. Sin has consequences, and although our sins may be forgiven, their consequences may still be with us. King David's sin with Bathsheba was forgiven, but the son born of that illicit union still died (see 2 Samuel 11-12).
But God has promised to give us both the strength and the wisdom we need to deal with our problems. Have you committed your problems to God, and are you asking Him to help you every day?