The most likely reason that the LM4040 voltage reference is not holding the correct voltage is that not enough current is passing through the device. For the following explanation, refer to the figure below. The LM4040 requires a shunt current (I-shunt) of at least 60uA and no more than 20mA for stable operation. It is important to size RS such that VS can supply enough load current while still providing a safe shunt current to the LM4040. The Applications Information section on page 12 of the datasheet explains this in detail. Use the equation below to properly select RS.