From helping others on Steam support forums and their result from following my suggestion, I have concluded the following as the cause:
Steam exits in an un-friendly way, thus not syncing your shortcuts with the cloud. This can occur when you let it (Steam) close by itself when shutting down/restarting your computer, Steam basically force closes, it does not close gracefully.
The main reason this is the cause is because Steam syncs your shortcuts with the cloud, but in order to do this it must shut down "gracefully". This means you have to shutdown Steam by doing:
Steam > Exit or Right-Click on Steam Icon Taskbar > Exit
Either of those will allow Steam to sync with the cloud if necessary.
Others say it is due to corruption of a local file, but it can be fixed by doing what I have suggested above. There hasn't been an official response from Steam on this issue, so it's just a logical guess based on past experiences of myself and others.