Dinesh Divekar is right about the primary responsibility of 'retention'. Though a bit out-of-context, the role of HR is something like that of parents (or friends, as the case may be) in a marriage . The parents can only take responsibility until the stage of marriage—but what the couple makes out of the marriage is up to them.
But please also remember that parents always come into the picture when there are problems in the marriage—so frankly, you can't say that HR doesn't have any role after Hiring/Joining, regarding Retention.
Coming to your query, it would have been better if you had given more details of both your observations so far and actions from the HR end to figure out the reasons for the attrition.
Do you have any exit-interview process in place? How is the Increment/Appraisal policy of the company, in general, viewed by the employees? Like Dinesh Divekar mentioned, is any specific department under a cloud for this situation, or is it spread across the company? More inputs, the better and more accurate the suggestions.
However, going by your posting, I get a feeling (I may be and wish to be wrong on this aspect) that the sense of belonging at the senior managers' level is lacking in your company. Else, given the reality that it's the Line managers who are directly affected due to any attrition, their comments ("...attrition is HR Headache") only convey an attitude of 'passing-the-buck' (typically seen in Government Sector Companies). If this indeed is true (to whatever extent), then this attitude is only being passed (without any specific intent most likely) to the lower-level employees—and attrition is the 'RESULTANT and EXTERNAL symptom' that is noticed. Like the saying goes in Sanskrit: 'Yatha raja, thatha praja'. The 'WHY' of this aspect could lead you to a totally different direction—if you want to find the solution.
All the best.
Regards,
TS