This is an apparent glitch in Mad Moxxi's DLC which causes you to lost items (shields, class mods, grenade mods, etc) once the naked rule has been in effect. It can be caused by that rule, a disconnect or many other things. To avoid losing items, be sure to backup your save files.
PC Save Files can be found in My Documents > My Games > Borderlands > SaveData
Copy all data in that folder and paste it somewhere safe. If you find you've lost an item, just replace the applicable character file with the corrupted one. Note, you must backup your save files often otherwise you'll lose the progress you made in between the backup and the latest save.