I've had the same problem when sewing through thick layers. Here' what I think is causing it. When sewing forward, the needle goes into the fabric, and comes out while the feet start to move the fabric. When going backward, the needle comes down - while the fabric is moving. With thin fabric this doesn't matter. But with thick fabric, the needle is in the fabric as the fabric moves and that movement deflects the needle away from the needle hole. The solution is to use small back stitches.