Imagine for a moment thise loose, drunken analogy...
Your USB flash drive is a library. Your data is
stored in books (sectors) in different book cases (tracks) in your library (drive platters). Your data is
organized by shelves (clusters) in different rooms (partitions) in your library.
In order to access your data, your computer decides what room to go to (partition). Once it is in the correct room, it searches the catalog (file allocation table / MFT) for the book (data) you want. If the book isn't in the catalog, your computer is too clueless to find it manually.
Sometimes, these different components can get damaged or appear missing. For example, if you're MFT is corrupted, you no longer have a 'catalog' your computer can refer to in order to search for files. Sometimes the partition can become corrupted and your computer won't even know where to look for the catalog.
In short (
because I ramble too much), data loss often happens because your computer can't read the catalog (MFT / file table) to find files. If this is the cause of your data loss, then we'll need to find a way to get around it or fix it. Even though the catalog is damaged, those files could quite possibly still there. Your computer just doesn't know how to look for them anymore. There are programs which are designed to fix these issues and there are also programs that are designed to work around these problems. They don't always work very well or even at all, but recovery is very possible (especially for smaller files) and sometimes for the entire partition if you have partition damage. Just search around for freeware data recovery utilities... they are out there.