Monster is right, if air is escaping the cover then it will sound like it's roaring for no good reason. If it seems like it's flush, then give the bolt another 1-2 turns and see what that does.
There's a foam type seal that sits on the frame of the filter housing. Make sure that that is there.
Also another thing to check is the filter position. Not saying that you don't know what you're doing, but even the best make the silliest of mistakes. I would check and ensure that the filters are facing the right way.