It does indeed happen. There seems to be a few different types of it. Sometimes a whole band will just disappear off the platform - chalk it up to contractual disagreement. Sometimes a particular album will not be available on Spotify, but other albums from the same band will be - likely some issue with the label that produced the album. Finally, sometimes the particular version of the song you like (e.g. a certain live version, acoustic version, whatever) will disappear but others will remain (e.g. studio version).

However, it really doesn't happen that often. I probably have a few thousand songs save on Spotify and perhaps a dozen have been taken off after many years of using the platform.