I used to have this problem. I'd try to choose nonfiction books that were basically a series of vignettes, as I could keep track of what was going on better if I could get each chapter in a different sitting. I gave up on audiobooks for a while until this past year. For some reason, something seemed to click and I can keep track of the plot better.

I'm wondering if part of the change is due to the books I'm selecting. I started getting into audiobooks when my friends were reading Becoming by Michelle Obama and I really wanted to hear her read it out. I was able to keep track of progress pretty well. Shortly after my library had a long wait list for a book that was immediately available as an audiobook. Since then, I've been doing a lot of relatively short novels.