Magento 1.9 CE running on LAMP stack.
Some are saying this is the solution to prevent it: Go to System –> Configuration –> General –> Web –> Session Cookie Management –> Cookie Lifetime = 5400
However my cookie lifetime was already set much higher than that and if you refresh even once the cookie is gone - changing cookie lifetime is not the fix.
I know how to turn it off: Go to System –> Configuration –> General –> Web –> Browser Capabilities Detection –> Redirect to CMS-page if cookies are disabled = No
But I'm most interested in what is actually causing it.