I have similar problems in my flat which has a plasterboard layer then an air gap before some stupidly tough concrete which eats drill bits for breakfast.
if you find that the screws pull out once your curtains are up put up a piece of wood the length of the wall you want to cover (along the top) screw it in with a screw per every 4" (inches) along the top and then again along the bottom (of the one bit of wood). Mount your curtains on that and you should have no problems with it pulling out of the wall.
There are also plasterboard nuts and bolts available which you select for the thickness of your plasterboard the nut expands behind the thickness of the plasterboard which provides a much larger surface area for the bolt to pull against resulting in it being far less likely that you will tear down your wall.