Yes. It is absolutely normal.
Your ability to retain the techniques you've been taught will improve significantly with time and experience, but there are methods you can use to speed up the process. I'll give you what I consider the most important method and the one I tell all my students.
Memorization is limited. In BJJ there are hundreds of techniques, with dozens of variations for each technique, and at least dozens of details for each variation. That comes out to thousands or tens of thousands of technical details. You can't memorize them all. I can't either. No can. Even if you could, people are constantly inventing new techniques and variations faster than you can keep up with.
The thing to do is to realize that all those tens of thousands of technical details are just contextual applications of a fairly small number of underlying concepts and principles and basic movement patterns. If you understand the purpose and the meaning and the underlying principle behind each detail, then it becomes much easier to remember. Think of it like a language if someone gives you a paragraph to memorize and recite in a language you don't speak, then it's just random sounds and will be really hard to remember. But if you understand the language, then you understand and retain the meaning. Even if you don't remember it word for word the next day, you'll probably be able to recite the gist of it.
So when you learn a new technique, try to identify as many as possible of the fundamental ideas that make it work. If you are lucky, the instructor will explain at least some of them in the process of demonstration. Another helpful approach is to ask "why" for each of the details you are shown. If the instructor doesn't explain, then try to see if you can figure it out on your own. If you can't, ask your instructor or see what happens when you leave out the detail. On your first day, maybe you can only identify and remember one or two of those ideas. That's fine.
Now when you go to your next class and the instructor shows an entirely different technique, do the same thing, but try to find one concept or movement or principle which you saw in the previous class in the other technique. Keep this up and in no time you'll start to recognize the basic building blocks that come together to make all these techniques and variations work. At that point, the process of remembering what you are taught becomes much, much easier.
Side note - once you start this process, eventually you will encounter a situation where you though you understood a fundamental principle and the instructor is showing you something which appears to contradict that. This is an excellent opportunity to start understanding the concepts beneath the concepts and why every "rule" is really just a guideline for the time being that you can break once you understand the concepts beneath it.
This is all a very abstract and general overview. Let me know if you would like some more concrete examples.
