I take it you mean the screen is not blanking when you hold the phone up to your face to talk, is that right?
If so, that would usually indicate a failure of the proximity sensor, the part that detects when the phone's up against something. If your phone is indeed brand new, you should not be having a problem with it. Although it is entirely possible to replace the sensor, on a new phone your first option should be to return it for repair or replacement as it should still be under warranty.