This is the second time over the last month that Spotify has decided to, without any reason or prompt, un-download ~4,500 songs in total from my phone. This includes playlists, specific songs, and dozens of albums.
Until recently I've never had this happen, and I've had Premium for a few years now. This is frustrating beyond words (and beyond lack of profanities).
Why is this happening? I've done nothing to make the app do this - it's at random. No settings changes, no updates. Nothing whatsoever in any way, shape, or form.
One day my music is there, the next, *poof*, it's gone.
We recommend taking a look at this article where you can find some info to keep in mind about your downloads. It's also worth doing a clean reinstall of the app to get rid of any cached files that might be causing trouble.
If the issue persists afterward, let us know the Spotify version you're running and if you're using an SD card so we can further investigate what's going on.