By the sounds of it you may not have enough power OR the bios doesn't recognise the cpu and gives up (shutdown). I cant find anywhere that says that this motherboard will support the Athlon cpu. Just because its the same socket (fm1) doesn't mean its compatible.
Personally I would put your old cpu back in and check if you can get into the bios and check its working. If that works find out what version your bios is check if there is a newer version on the ASUS website (I think this one is yours): -
https://www.asus.com/us/Tower-PCs/CM1735/HelpDesk_Download/
The program that you need to do the update is also there. Here is a vid that explains how to do it (a bit cheesy but it serves its purpose): -
https://www.youtube.com/watch?v=6vr4y8rUNXA
The file name and folders will differ. then if all this works put the athlon back in and see if it works better. If it still doesn't work then it is either not enough power(psu), defective cpu or most likely not compatible.
so tldr:-
1. but old cpu back in
2. update the bios to the latest version (if not already up-to-date)
3. put athlon back in
4. success?