Are you by any chance hitting the AE-L button (you'll see an asterisk in the viewfinder)? There ar no Auto settings of any sort in M mode otherwise. IF you are holding down the Shutter button (half) while turning a dial, it behaves as if the exposure is locked.
If not...
Try swapping the dials. That is, if your dials are set for aperture on rear and shutter speed on front, reverse them (Custom menu 4 #26, Page 106). See if the behavior follows the dial or if you now see the same thing with the Aperture rather than the shutter speed.