I have hunters FAN. Its pull chain broke so I brought another 4 wire (3 spped fan switch) from Home Depot. I noted the location of existing wired as
L - Black
1- Grey
2- Brown
3- Green
I replaced the switch with same color coding of wire. Now the Fan runs only on 2 speed and does not stop at all.
1st Pull - Full Speed
2nd Pull - Full Speed
3rd Pull - Full Spped
4th Pull - Low Speed
5th Pull - Full Speed
...

Any help appreciated

Your replacement switch is not the correct switch. Obtain the correct one from Hunter Fan (http://www.hunterfan.com)