Take the cooler off then remove the fan. Remove the sticker on the fan and you will see that a small white plastic ring had failed. Now you re-grease the metal column and reassemble the fan then take some thin copper wire and rap it around the end of the metal column then the fan will stay in place if you don't have a 40mm fan that you can scrap for another ring.
nforce4max... THANK YOU. I just recently got a 3870x2 back from RMA, and it JUST went past the warranty end date. Rather than try and deal with another potential RMA and month-long wait, I started searching for a solution to this problem and came upon your post.
5 minutes later, the fan is good as new. In fact, I was lucky and the plastic ring had just slipped off, but was still in excellent shape. I clipped it back over the column and all is well.
Again, thank you so much, I would have just given up