In my experience, this happens alot with devices that draw power from the USB port. This may be more fragile, and when a HDD is temporarily without power any queued write requests will be lost. In normal cases, this would lead to filesystem corruption, though NTFS is journaling and can recover from this. But its not a good thing so you really should fix this issue.
If you didn't connect the device directly to the USB port, but rather indirectly to a USB hub or the front USB ports, etc, you can try connecting it to the USB connectors supplied by the motherboard. Also if your device has TWO USB-connectors, you should connect both of them, one is for data, the other is for power. Connect them to different USB channels - the motherboard has 2 USB ports per channel.