This is normal behavior for lightning rods. Basically, the more you have, the less chance something will get struck.
Taken from the wiki:
The chance that a lightning strike will be intercepted is inversely related to the percentage of lightning rods on the farm that are currently holding a charge (either pulsing or holding a battery pack). The exact probability is chance to intercept = 1 - (number of charged lightning rods / total number of lightning rods)²
[2]. That is, if none of the lightning rods are currently holding a charge, a lightning strike is 100% guaranteed to be intercepted. If 50% of the lightning rods are charged, a lightning strike has a 75% chance to be intercepted. If 90% of the lightning rods are charged, a strike has only a 19% chance to be intercepted. At least one lightning rod must be on the farm to have any chance of intercepting a strike.