canadian, you didn't say whether you are shooting off a rest or not. It could be that you have the forearm sitting on the sandbags and the recovery from the recoil is causing the forearm to slide back, ejecting the shell. Try shooting it offhand.
Your right, those 3 1/2" shells do recoil pretty stoutly out of the 870. But at least you didn't do what I did with my 870 super mag. Shoot at geese passing directly overhead while lying on my back. My poor shoulder had no where to go on that frozen ground. Needless to say I only did that trick once.