Were you able to remove the old silcock? What was on the end?
Once a threaded connection is taken apart, often unless new pipe dope or teflon tape is applied to the connection, it won't seal properly, even if you tighten it up enough.
If you got the old one out, you could try applying a good coat of pipe dope to the threads, then tightening it down and it MIGHT seal, but the only way you'll probably know for sure is to open the ceiling or wall and look.
If you can't get the old one out, then you'll need to open the wall or ceiling to figure out what's going on.
Is this an area where it gets below freezing? If so, then it's a good idea to use a frost-free silcock. This has the guts of the valve inside, and when you shut it off, the part from there to the outside drains out. Do NOT leave a hose connected on this type of valve, since it can't drain, and therefore it will likely freeze and ruin the valve.