Shimano Ultegra 6800 front derailleur tension problem
The rotational position and height not being exactly right would cause this. Shimano now has a more specific procedure then in the past to establish them, which you can see starting on page 5 of the dealer manual.

If following the procedure in their manual to a T doesn't work, the other thing you may be looking at is a situation such as Lennard Zinn describes in his column on 11-speed Shimano road FD setup where the cable anchor has to be set in an unorthodox position going over the top of the bolt. The dealer manual demonstrates this as a thing you're not supposed to do on the page 14, the two graphics on the right hand side of the chart. It may be worth a try.

As is pointed out further down in that column, problems with these derailers almost always revolve around not having enough cable tension. All aspects of the setup have little if any margin for error and they need as much cable tension as possible. They also need the low limit screw set super close. That  0-0.5mm inner cage clearance number on page 15 of the manual is one that's been around for a while and used to be more or less unrealistic, but they mean business now. It has to be all but touching, and it will work better if it's almost kinda sorta touching (the "0" end of the range). Usually it's the case that if you set it up in the stand for the chain to just barely touch the cage sometimes in the low gear, it won't rub when you're actually climbing because the chain is under so much more tension.