This does not surprise me, really. That's usually how most MMO releases go, even if Age of Conan was the most heralded release since WoW. I'll admit, I haven't played it myself but I had ten or so guildmates of mine go and try it out. All of them ended up not playing the game after a month, saying that something was 'missing.' How delightfully vague, eh? They all came back.
A thriving, pre-existing community really helps a game's launch, and WoW had (and has) that in spades. You've gotta hand it to Age of Conan, though. For being a game that seems so niche in a market that has only moved out of nichedom in the last few years, they're putting up one hell of a fight. 40% of players have come back so far, sure, but 60% haven't. Yet.