Newborn won't sleep unless held, is this normal?

Our son is 3 weeks old and literally only sleeps when me or my wife are holding him. The second we put him down he wakes up crying. We're exhausted and I'm wondering if we're doing something wrong or if this is just how it is for a while. We've tried the bassinet, the crib, he just doesn't like being put down. Any other dads dealing with this?