I just started GTA Online and have bought multiple weapons from Ammu-Nation. After exiting the building, I checked my weapon wheel and none of the weapons I just bought were there. Is this a glitch? If not, how do I get them into my weapon wheel?
On Rockstar support forums there are some complaints about a bug that make your weapons disappear, while it appears to happen since some time (2013) and be somewhat common, there are reports of it 3 months ago.
There appear not to have a solution coming, but some players reported that in their case they did accidently dropped the weapon when selecting it, pressing Y or Triangle, and picking it up again would only reequips it for the rest of the session. So you should just need to be careful when selecting a weapon.
(source: http://www.gamefaqs.com/boards/733724-grand-theft-auto-online/69116390, and is also cited on first source link)