I noticed just now that a comment on my answer was removed (before I had the chance to see it, but the notification was still showing in my inbox). The comment was removed with the entire comment thread. In a similar action, other comments were removed from another thread (in part by a moderator, and in part by the other participant).
In the first thread the comments were going nowhere (and in fact the deleted comment seemed semi-apologetic for a previous one, but I'll never know...), but in the second thread the comments were of mathematical nature. I believe that at least one of the comments removed in that case should have stayed there, even if the other user has deleted his comments from that thread.
Also relevant are the two recent meta threads:
These recent events raise the question,
Are the moderators removing comments too aggressively?
As Martin points out in the comments, this may be due to users flagging comments as obsolete, or chatty, or otherwise. Which raises another question
How aggressively should the users flag comments? And what sort of considerations should the moderators make before acting on these flags?
True there are good reasons for deleting comments, but there is no notification that such action took place. Furthermore, it means that if you want to recall something that you'd written in a now-deleted comment it is impossible.
Should we start a habit of taking screenshots whenever we add "non-mathy" comments somewhere? Or, as past experiences indicate, even if they are relevant to the mathematics in the post?