When drilling into a concrete wall, don't go too deep. There is no need to do this and it could compromise the wall structure itself.
The easiest way to prevent this from happening is to take your fixing, hold it against the drill bit, and wrap a couple of rounds of PVC tape around the bit. When the tape is against the wall, you have drilled deep enough.
Also, when you first touch the bit to the concrete wall and start the drill, if you go full speed at the start, the drill bit will wander all over the place.
Start with a very gentle touch on the trigger until the bit digs into the concrete, then you can start to drill at full speed. Also make sure the hole you are drilling is perpendicular (90 degrees) with the wall. - MikeTNZ