By default, windows 7 & 8 always does maintenance automatically. One of the things it checks for is desktop icons with broken links that do not go anywhere. When it finds these, it deletes them. (So the user is not confused when a desktop icon does not work.)
In order to prevent this do the following:
Go into

rb: type action center in the search and click action center. Under Maintenance-Troubleshooting: system maintenance
Click change troubleshooting settings. Turn computer maintenance off.
Unfortunately, the only options are on or off; you cannot simply check mark what things you want it to check.
One of the things it checks for is desktop links that are broken or do not go anywhere. If it checks when the network resource is unavailable it will delete it. This is why this is happening.
To manually perform the troubleshooting in the future since you turned it off, do the following:
Click

rb: then type maintenance and under the results choose "Perform recommend maintenance tasks automatically."
Running the troubleshooter will initiate the maintenance once you click next. If you click advanced on the start of the troubleshooter, you can uncheck apply repairs automatically. This way running the troubleshooter you can decide if you want to "fix it".
These are the things it checks for:
-Broken shortcuts
-Troubleshooting history taking up to much disk space
-System time incorrectly set
-Unused desktop icons
-disk volume errors
-Error reports are taking up to much disk space