The reason could be that your baby just wants to be held by you. Your scent, warmth, smell and heartbeat are familiar and soothing to her. You can try swaddling her to help achieve the same comforting effect. Newborns are still unable to calm themselves down. To get her to sleep on her own, try to help her learn how to soothe herself. Be patient, stay with her while you put her down for naps in the day. Stroke her face or hands and sings to her while getting her to try settling on her own. At night, put her down in her cot after she is in deep sleep. If she wakes up the moment you put her in, resist the urge to pick her up immediately. Let her adjust to the idea but do make sure to comfort her and not simply let her cry it out. Here’s an article to help you understand why your baby wants to be held: http://sg.theasianparent.com/help-my-baby-wants-to-be-held-all-the-time/
I made the mistake of not swaddling my baby from day 4 onwards and from then on she found it difficult to sleep in her cot. So she's been either sleeping on me or in her cot but after a long struggle. Recently (she's 11 weeks now), I started swaddling her again and it has worked! Basically I will rock her in my arms till she's asleep and I'll place her in her cot with a swaddle waiting. Once she's in it, I'll swaddle her and turn down all the lights. Sometimes I sit by her cot and pat her a little, to lull her into deeper sleep.
Is your room too quiet? If yes, try to make some 'white noise' such as sound of a fan or running water. The womb is not a quiet place. Baby is surrounded with the amniotic fluid which make some 'running water' sound, also baby is used to mom's heartbeat sound and voices from outside. So after being born, of course your baby will freak out being put down at a strange, dark and quiet place. Hope this'll help!
thanks