Like Jan said, some people have them come unscrewed and some don't, I think how tightly one knits can also contribute, I have it happen much less often since I've loosened up. Apparently KP and WEBs think keys get lost easily too since I seem to get a new one every time I order anything. I put one on a big orange paper clip and another on a big pin-like stitch marker and neither has been lost. They're also easier to pick up.
Happiness is catching that dropped stitch while it's still fixable..