Have you configured the role based navigation properly for the anonymous user?
From the doc's:
The Nav_GuestHomePage microflow is an example for a home page for an anonymous user. This microflow will either show the LoginPage or trigger the deep link process. If you choose to use a different home page or a different home-page microflow, you can set the Step1_ShowForgotPasswordPage microflow to be triggered by the anonymous user. This microflow starts the reset password function.
I have added the same Nav_GuestHomePage for the default home page, actually it is not triggering the deep link process its showing my login page