Well, then there are only these possibilities:
1. Battery was done to begin with.
2. Battery was charged to less than 40% capacity at the start of the cycle.
3. You have an fault with the car causing unaccounted for drain.

My car sits for months. No issues.

 

No, three weeks of sitting did not drain the battery to its death. Either the battery was at the end of its life in which case you've already fixed it, or you have a parasitic draw that should be taken care of otherwise it'll kill your new battery. Any auto elec should be able to measure the resting current draw for you in a few minutes, or you could just leave the car without being driven for a week or so and measure the voltage daily to see if it drops by any meaningful amount.

 

Ok. tnx for the info guys. I will make sure to investigate if my car suffers from parasitic draw. The old battery was not that old, maybe 3-4 years but I wanted to switch to AGM anyways. This is my daily driver so I haven't had any issues before parking it up for 3 weeks.

When I installed the new battery and started the car up, the voltage on the battery was at steady 13.9V. Is that a good value? How can I know if my alternator is doing its job properly?

 

If you had just installed a 'new' battery, 13.9 volts from the alternator means the battery was NOT fully charged when installed. It should be a bit lower than that with a full battery right off the bat.

 

mine measures 13.2-13.5 on startup.