Your books are not disappearing - they are most likely going to the very end of the list due to the Kindle's clock/date being out of sync. Scroll to the back and have a look.
Turn on your wireless and allow it to sync. (then you can turn it off) When you select those same books and exit, they should remain at the same location as most recently opened.
This can happen on occasion when syncing has not occurred in a long time.
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