Hi Garviel Loken,
This is certainly not suppose to happen. Although you can lose items when you lose a fight. The Christmas Camel has a protection to prevent this.
I would recommend contacting Moonlight.exe on Discord and provide her with the following information;
Ingame name:
Server:
Time you lost the item:
Your timezone:
Which item you lost:
If you're not on the discord, you can also try sending her a direct message on the Forum. But it may take her longer to reply.
Apologies for the inconvenience.