Mine has fallen off a few times when the end gets caught on something, but I felt it and therefore didn't lose it.
Found one in the main pool at PoR. Found the kid it belonged to.
Found one on the ground when we got off BTMRR. Gave it to a CM.
Not sure how my mother-in-law managed it, but she was the only one to lose hers when we went for a week with 13 family members aged 7-68. I don't think it fell off, though, I think she put it someplace weird and then couldn't find it. They were freaking out, but luckily I knew we could just go to the hotel desk and get a new one. Took about 2 minutes.