This article was originally posted by Gearbox on their own Knowledge Base.
We have recieved some reports of players losing their equipped inventory after leaving a co-op game. Our engineers are aware of this issue and are investigating possible resolutions. In the meantime, we recommend that players wait at least one minute after loading into an online co-op game before exiting, as this may avoid the conditions necessary to produce this issue.
Keep an eye on the Update / Hot-Fix Information page of your console of choice as these lists will be updated when game updates and hot-fixes become available.
If you have any issues with this, or anything else, please create a support request at support.gearboxsoftware.com