I think we need a little bit more information. How big is your protein? Normally you should use a kDA cut off at least half of the size of your protein. How did you determine the recovery rate? Did you check the flow through?
From my experience the membrane filter retains a lot of protein. I do not have the numbers of recovery rate though. As you did not say, I would ask you to wash several times to recover the most of your protein.
I completely agree with his colleagues. You need to know the size of your protein to choose the correct filters. You have to wash the purified protein at least three times