I know this sounds really strange but I have had it happen to me twice now. I wear a headband under my helmet (to keep the hair out of my face) and really like the big tubes that you get from katmandu and fold into a head band.
Anyway I have two of them (and at $16 each on special they are not cheap) and lost them both! It seems that they come out from under my helmet when I am riding. I know it hasn't been when I have taken my helmet off cause I check all around me and my clothes.
Has this happened to anyone else? Can anyone tell me why this would happen? It isn't a problem with the thinner ones I wear, but I really liked the others as they made my helmet extra snug.
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