I can't reproduce this, but it's happend a lot.
Create an object, and play around with setting textures, particularly on one face I believe, then exit editing by hitting ESC. Not always but often the object will be deleted.
Another way I saw this was with linked object, turn on select texture and also edit linked objects. Then play with selecting and re-texturing a face. This often causes the object to be deleted when you exit editing or sometimes just changing the texture.
It seems to be very inconsistant though.