Huh... maybe it's because of all the different items in the Milkman level that disappear when you leave? Actually, if it were as simple as that then I'll bet everyone would be having this problem... I do know that after I left the Milkman level, I:
- picked up the bracelet,
- went back to the lodge and bought a couple dream fluffs and a few psi cores,
- went to Cruller's lab, where he told me to look for brains, so then I
- found some brains and misc. cards and scavenger hunt items.
And somewhere within these inventory changes, I lost my duster. I think after I finish the game, I'll go back and try to repeat the problem to see if I can pinpoint when exactly it happened.
I've since gone back and tried to repeat the glitch, but despite many tries, I can't... at least that means it's probably very rare.