Assuming you had the hold switch on, the only way I know that this could happen is if you accidently hit the power switch (in which case the file needs to be recovered via chkdsk /f in DOS on your computer) or your battery levels drop (might be a problem with some CF cards and alkelines, Edirol says the Lexar 80x CF cards only work with the AC power adapter, though they work fine with lithium AAs). What batteries were you using and what CF card?
Jeff