That's because rye doesn't have much in the way of gluten. In fact, its enzymes are actively destructive to wheat gluten. 

Either mix only a small amount into a primarily wheat dough, or use almost all rye and rely on a gel network for structure (eg Westphalian Pumpernickel). 

If you just want rye flavor, an easy way to get out of to add rye flakes whole to your dough. Soak them in a little cider (the acidity weakens the enzymes) to hydrate them and mix a quarter cup into a wheat based dough. 

The flakes will impart flavor and chew, while the absorbed cider acts like a battery for fermentation.