I did this several times yesterday, so we can call this reproductible.
1. Load an mp3 in the session view
2. Make some changes... adjust the bpm matching, put some warp markers etc.
3. Drag the clip to the file pane. Live creates a project folder. Since it's inside a folder belonging to an album (say, G:\MP3\Leftfield - Rhythm and Stealth), I rename it "Live Clips". So now I have a "G:\MP3\Leftfield - Rhythm and Stealth\Live Clips" folder with "Phat Planet.alc" inside it.
4. Load another mp3 in the session view, create a clip, drag it into the Live Clips folder. You can do this as many times as you want. Live shows all the clips inside the project folder.
5. Exit Live.
6. Surprise! THE PROJECT FOLDER ALONG WITH ALL CLIPS IS GONE.
Needless to say, this was quite annoying. Live was showing the files, so they existed, right? I even dragged some of them back into the session to play a little before closing Live, so why are they all gone?
Houst... I mean Berlin, we have a problem!